The Model’s Contribution: Examples with Value at Risk and the Monte Carlo Method

Dimitris N. Chorafas

Chapter 10 in Modelling the Survival of Financial and Industrial Enterprises, 2002, pp 203-223 from Palgrave Macmillan

Abstract: Abstract A company is exposed to interest rate, foreign currency, and equity price risks. A portion of these risks is hedged, but volatility negate this and impact negatively on our company’s financial position. Entities usually hedge the exposure of accounts receivable and a portion of anticipated revenue to foreign currency fluctuations, primarily with option contracts. Models help in monitoring foreign currency exposures daily, or even better intraday, to assure the overall effectiveness of hedged positions.

Keywords: Interest Rate; Credit Risk; Market Risk; Rocket Scientist; Trading Book (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-50173-7_10

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DOI: 10.1057/9780230501737_10

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