Risk assessment for ancillary services

<p><span>In this paper evaluate six exchange rate hedging strategies with financial options from the OTC market in Colombia. Three hedging strategies for importers and three for exporters were raised. The coverage for importers was carried out with the traditional strategy of long call, bull call spread and bull put spread, the last two correspond to options portfolios. the coverage for importers was carried out with the traditional strategy of long put, bear call spread and bear put spread, the last two correspond to options portfolios. to determine the best hedging strategy, the currency price was modeled with a Wiener process and the VaR for the six covered scenarios was calculated and compared with the VaR of the uncovered scenario. The results shown by the six hedging strategies manage to mitigate the exchange risk, but the most efficient strategies are the traditional ones for both importers and exporters.</span></p>

show abstract

“…VaR is the possible loss with a probability and a time horizon. CVaR is the conditional expectation of losses above VaR [12][13][14].…”

Section: Introductionmentioning

confidence: 99%

Evaluation of options portfolios for exchange rate hedges

Jiménez-Gómez

Acevedo-Prins

López

2021

IJEECS

View full text Add to dashboard Cite

show abstract

“…Due to the importance that investors or companies have been given to the risk administration, the derivatives market has become an essential part of the financial markets in the world.The financial derivatives are instruments of risk hedging designed for the actors at financial markets that do not seek to obtain profits from speculation, but from real productive activity [4,5]. Because of the above, and pursuing the objective of developing, expanding, modernizing, deepening, and innovating in the stock markets, in 2008, Colombia became the third country in Latin America to create a platform for the market of standardized [3,6].…”

Section: Introductionmentioning

confidence: 99%

Currency hedging strategy using barrier options in the colombian market

Arango-Franco

Jiménez-Gómez

Acevedo-Prins

2020

IJEECS

View full text Add to dashboard Cite

<p><span>One of the main problems for the growth of the Colombian market is the short variety of investment instruments found in the local market. In this way, an exchange rate hedging strategy is proposed using exotic options, specifically, barrier-type options. These types of options are not offered in the Colombian market. Monte Carlo simulation is used to determine the effect that the hedging strategy has on currency risk. From the results, it is concluded that the exchange risk is decreased with the hedging strategy because the 5th and 95th percentiles are lower than in the scenario without hedging. Finally, the code that was used to model the barrier options is explained.</span></p>

show abstract

Risk assessment optimization for decision support using intelligent model based on fuzzy inference renewable rules

Radhi

2020

IJEECS

View full text Add to dashboard Cite

Due to the unreliability of wired communications and the risks of controlling the process of transmitting data besides the complications that affecting data protection and the high costs of systems infrastructure, led to use wireless communications instead of wires media, but these networks are vulnerable towards illegal attacks. The side effects of these attacks are modifying data or penetrate the security system and discover its weaknesses, which leads to great material losses. These risks and difficulties led to the reluctance of wires communications and propose intelligent techniques and robust encryption algorithms for preventing data transmitted over wireless networks to keep it safe from cyber security attacks. So, there is a persistent need for providing intelligent techniques and robust algorithms to preserve conveyed information using wireless network. This paper introduces scenario for proposing intelligent technique to increase data reliability and provides a new way to improve high level of protection besides reduces infrastructure cost. The proposed system relies on two models, where the first model based on producing a knowledge base of risk rules while the aim of the second module is a risk assessment outcomes and encryption process according to attacks type. In this system, reducing risks levels based on renewable rules whereas a novel security system established on non-periodic keys with unsystematic operations using fuzzy system. We concluded that the proposed system has the ability to protect the transmitted data, increases its reliability and reduce the potential risks. MATLAB Toolkit 2014 then Weka open source package was used in encryption and data mining for the proposed system.<iframe class="ginger-extension-definitionpopup" style="left: -91.5px; top: -78px; z-index: 100001; display: none;" src="chrome-extension://kdfieneakcjfaiglcfcgkidlkmlijjnh/content/popups/definitionPopup/index.html?title=Abstract&description=a%20concept%20or%20idea%20not%20associated%20with%20any%20specific%20instance"></iframe>

show abstract

Risk assessment for ancillary services

Cited by 3 publications

References 3 publications

Evaluation of options portfolios for exchange rate hedges

Evaluation of options portfolios for exchange rate hedges

Currency hedging strategy using barrier options in the colombian market

Risk assessment optimization for decision support using intelligent model based on fuzzy inference renewable rules

Contact Info

Product

Resources

About