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Currency risk management: the experience of a Russian company

Author

Listed:
  • Jan Campbell
  • Alexey S. Kosarev
  • Aleksey J. Domnikov
  • Olga A. Rutschizkaja

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.

Suggested Citation

  • Jan Campbell & Alexey S. Kosarev & Aleksey J. Domnikov & Olga A. Rutschizkaja, 2012. "Currency risk management: the experience of a Russian company," Ekonomika a Management, Prague University of Economics and Business, vol. 2012(4), pages 5-14.
    • Handle: RePEc:prg:jnleam:v:2012:y:2012:i:4:id:178:p:5-14
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    References listed on IDEAS

    as
    1. Kam Fong Chan & Christopher Gan & Patricia A. McGraw, 2003. "A Hedging Strategy for New Zealand’s Exporters in Transaction Exposure to Currency Risk," Multinational Finance Journal, Multinational Finance Journal, vol. 7(1-2), pages 25-54, March-Jun.
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    Cited by:

    1. Ponomarev, Yuriy (Пономарев, Юрий) & Rey, Aleksey (Рей, Алексей) & Radchenko, Darya (Радченко, Дарья), 2018. "Investigation of the Relationship between the Intensity of International Trade and the Volatility of Paired Exchange Rates of the Russian Federation and its Trading Partners [Исследование Взаимосвя," Working Papers 061823, Russian Presidential Academy of National Economy and Public Administration.

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      More about this item

      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;
      All these keywords.

      JEL classification:

      • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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