Currency risk management: the experience of a Russian company

Jan Campbell, Alexey S. Kosarev, Aleksey J. Domnikov and Olga A. Rutschizkaja

Ekonomika a Management, 2012, vol. 2012, issue 4, 5-14

Abstract: Exchange rate fluctuation has a significant impact on the economic results of different economic agents. In this report are analyzed two exchange rate forecast models is based on macroeconomic factors, such as RiskMetrics Group Inc.(RMG) (NYSE: RISK) and Krugman-and-Obstfeld models and VaR Methodologies. The models are widely used in analysis and forecasting of USD/RUR exchange rates. Comparative analyses were done between currency risks minimization instruments existing in Russian business practice. The author emphasized the most efficient instruments for small and large-scale business.

Keywords: Currency risks; exchange rate forecasting models; forecasting the dollar-ruble exchange rate; instruments for minimizing currency risk; hedging of the ruble; currency risk management in Russia (search for similar items in EconPapers)
JEL-codes: G32 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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