- Author
- Wybieralski Piotr (Poznań University of Economics and Business. Institute of International Business and Economics)
- Title
- Cross-Currency Interest Rate Swap Application in the Long-Term Currency Risk Management
- Source
- Annales Universitatis Mariae Curie-Skłodowska. Sectio H. Oeconomia, 2020, vol. 54, nr 2, s. 113-124, tab., rys., bibliogr. 11 poz.
- Keyword
- Zarządzanie ryzykiem, Analiza porównawcza, Ryzyko walutowe
Risk management, Comparative analysis, Currency risk - Note
- JEL Classification: F31; F37; G15
summ., - Abstract
- Effective currency risk management using various derivatives is particularly important under increased market volatility. The risk is relatively higher for longer than shorter time frames. This study highlights the implementation of selected instruments for long-term hedging. It presents the application of cross-currency interest rate swap as a currency risk hedging tool used by Polish exporters, mainly manufacturers generating their revenues mostly abroad (in euro area), exposed to negative exchange rate fluctuations. The paper covers issues related to the pricing, market risk estimation and collateral required in the OTC market, as well as undertakes a sensitivity analysis in search for exchange rates at which margin call occurs. There is a comparative analysis and back test simulation conducted using market data from exchange and money markets. The study emphasized that the analyzed instrument meets the expectations in terms of hedging the company cash flows, as well as may generate additional benefits due to the still existing interest rate differential. (original abstract)
- Accessibility
- The Library of Warsaw School of Economics
- Full text
- Show
- Bibliography
-
- Brzychczy, E. (2012). Proposal of using SWAPs by hard coal mining companies in Poland. Mineral Resources Management, 28(2). doi:10.2478/v10269-012-0016-0
- Chernov, M., & Creal, D. (2018). International yield curves and currency puzzles. NBER Working Paper, 25206.
- Engel, Ch., & Lee D. (2017). The uncovered interest parity puzzle, exchange rate forecasting and Taylor rules. NBER Working Paper, 24059.
- Hassan, T., & Mano, R. (2018). Forward and spot exchange rates in a multi-currency world. NBER Working Paper, 20294.
- Klimontowicz, M., & Pyka, A. (2018). Zabezpieczanie ryzyka stopy procentowej w kredytowaniu działalności przedsiębiorstw. Studia i Materiały. Wydział Zarządzania UW, 1(29). doi:10.7172/1733-9758.2018.27.5
- Leszczyńska, E. (2007). Rynek kontraktów swap w Polsce. Warszawa: Narodowy Bank Polski.
- Lustig, H., Stathopoulos, A., & Verdelhan, A. (2018). The term structure of currency carry trade risk premia. NBER Working Paper, 19623.
- Malinowski, A. (2011). Zastosowanie kontraktów swap w Polsce. Zeszyty Naukowe Uniwersytetu Przyrodniczo-Humanistycznego w Siedlcach. Seria: Administracja i Zarządzanie, 88(15).
- Polish National Bank. (2016). Turnover in the domestic Foreign Exchange and OTC Derivatives Markets in April 2016. Retrieved from www.nbp.pl
- Śliwiński, P. (2017). Testowanie hipotezy niezabezpieczonego parytetu stóp procentowych na przykładzie kursów USD/PLN oraz EUR/PLN w latach 2006-2010. Acta Universitas Lodzensis, 2(328). doi:10.18778/0208-6018.328.14
- Wybieralski, P. (2014). Transakcyjne ryzyko kursowe a cele działalności osłonowej przedsiębiorstw niefinansowych. Zeszyty Naukowe Uniwersytetu Szczecińskiego, 802. Finanse, Rynki Finansowe, Ubezpieczenia.
- Cited by
- ISSN
- 0459-9586
- Language
- eng
- URI / DOI
- http://dx.doi.org/10.17951/h.2020.54.2.113-124
