Be able to analyze features of practical financial instruments Develop skills in designing financial products Xingguo Luo (ZJU) Financial Engineering (2013) Lecture 1: Feb 28‚ 2013 4 / 45 Course introduction Candidate topics Forward contracts Cash flow engineering Swap engineering Repo Synthetics Options Fixed-income engineering Volatility trading CDS Structured product engineering Xingguo Luo (ZJU) Financial Engineering (2013) Lecture 1: Feb 28‚ 2013 5 / 45 Course
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Chart 1 and Chart 2‚ we can see that the U.S. inflation has exceeded Japanese inflation for the past 5 years‚ which indicates the future depreciation of dollar against Yen. Furthermore‚ the forward rate (Exhibit 5) also indicates the same depreciation of dollar. Given the recent depreciation of the yen against the dollar‚ it is increasingly difficult to forecast the future value of the yen. Considering the long term trend‚ maybe it does not need to concern the depreciation of the JPY‚ but if the appreciation
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http://www.youtube.com/watch?v=YTS6CKuZ4kg Symbiosis Institute of Management Studies Research Paper Currency Risk Management Faculty: Prof. SK Vaze Submission Date: 20th September 2012 Submitted by: Karisma Rawat C-06 Prableen Kaur C-08 Renu Balwada C-26 Rahul Gadh C- 33 Varun toshniwal C-35 CURRENCY RISK MANAGEMENT INTRODUCTION Currency or Exchange rate risk management is an integral part in every firm’s decisions about foreign currency exposure. Currency risk hedging strategies
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risk‚ AIFS has to hedge their currency exposure. At the moment the company hedges 100% of their exposure using forward contracts and currency options. Now Becky Tabaczynski‚ CFO of one of the main divisions‚ is creating a model‚ including different scenarios‚ with the goal of identifying which proportion of the exposure should be hedged at all and in which proportion forward contracts and currency options should be used for hedging. Not hedging at all could have disastrous consequences for the
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CHAPTER 15 1. Vanilla Swaps. Cleveland Insurance Company has just negotiated a three-year plain vanilla swap in which it will exchange fixed payments of 8 percent for floating payments of LIBOR + 1 percent. The notional principal is $50 million. LIBOR is expected to 7 percent‚ 9 percent‚ and 10 percent‚ respectively‚ at the end of each of the next three years. a. Determine the net dollar amount to be received (or paid) by Cleveland each year. ANSWER: End of Year: END OF YEAR 1 2 3
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_______________FX______________________________________________ FXIP – FX information portal Wcrs – world currency ranker Wcr – World currency rates Xdsh – world currency customizable Allq – quote sources Fxtf – fx ticket finder Fxfc – fx forecast Frd – forward fx Fxdv – fx derivative _______________________________________________________________ Hp – historical price (first select equity) GP – graphical price (first select a ticker) Cn – company news (same) Video commodity Welcome to the commodities
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Financial Management Read ‘Ocean Carriers’ and answer the following questions: Ocean Carriers uses a 9% discount rate. 1. Do you expect daily spot rate to increase or decrease next year? - The expected daily hire rates drives the daily spot rates higher. So we are expecting the higher daily spot rates under higher expected daily hire rates. 2. What factors drive average daily hire rates? - Demand in iron ore shipments‚ - World economy‚ strong economy in western countries will raise
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PLEKHANOV RUSSIAN UNIVERSITY OF ECONOMICS INTERNATIONAL BUSINESS SCHOOL Case Study HEDGING CURRENCY RISKS at AIFS Risk Management Master’s Degree Students: Bostandzhyan Kristina Inarkaeva Lamara Kirpichnikova Mariya Starovoytov Stanislav Sysoev Alexander Supervisor: Yulia Finogeeva Moscow 2015 INTRODUCTION AND PROBLEM STATEMENT AIFS is an American based company which was found in the U.S. in 1964. There are two main divisions in the company: the College division‚ which offers
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Value Adjustment FX Forwards and Currency Swaps Alexi Carlos and Zedrick Torres Introduction This paper is concerned with the generalization of the Credit Value Adjustment (CVA) equation for FX Forwards and Currency Swaps. In addition‚ a model for CVA using Visual Basic for Applications (VBA) in Microsoft Excel will be presented. Counterparty credit risk (CCR) is the risk that the counterparty to a financial contract will default prior to the expiration of the contract and will not make
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Motors Europe‚ General Motors Asian Pacific‚ and General Motors Latin America‚ Africa‚ Middle East). Each regional treasury center is required to use particular derivative instruments over specified time horizons. The guidelines are as follows: forward contract to hedge 50% of the exposures for months one through six and options to hedge 50% of the exposures for months seven through twelve. In general‚ at least 25% of the combined hedge on a particular currency is to be held in options in order to
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