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How Do Canadian Banks That Deal in Foreign Exchange Hedge Their Exposure to Risk?

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  • Chris D'Souza

Abstract

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  • Chris D'Souza, 2002. "How Do Canadian Banks That Deal in Foreign Exchange Hedge Their Exposure to Risk?," Staff Working Papers 02-34, Bank of Canada.
    • Handle: RePEc:bca:bocawp:02-34
    as

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    File URL: https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-34.pdf
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    References listed on IDEAS

    as
    1. Takatoshi Ito & Richard K. Lyons & Michael T. Melvin, 1996. "Is There Private Information in the FX Market? The Tokyo Experiment," Working Papers _005, University of California at Berkeley, Haas School of Business.
    2. Chris D'Souza & Alexandra Lai, 2006. "The Effects Of Bank Consolidation On Risk Capital Allocation And Market Liquidity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 29(2), pages 271-291, June.
    3. Cornell, Bradford & Reinganum, Marc R, 1981. "Forward and Futures Prices: Evidence from the Foreign Exchange Markets," Journal of Finance, American Finance Association, vol. 36(5), pages 1035-1045, December.
    4. Froot, Kenneth A. & Stein, Jeremy C., 1998. "Risk management, capital budgeting, and capital structure policy for financial institutions: an integrated approach," Journal of Financial Economics, Elsevier, vol. 47(1), pages 55-82, January.
    5. Hasbrouck, Joel, 1991. "Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
    6. H. Henry Cao & Martin D. D. Evans & Richard K. Lyons, 2017. "Inventory Information," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 9, pages 363-413, World Scientific Publishing Co. Pte. Ltd..
    7. repec:bla:jfinan:v:53:y:1998:i:3:p:1111-1130 is not listed on IDEAS
    8. Stoughton, Neal & Zechner, Josef, 1999. "Optimal Capital Allocation Using RAROC And EVA," CEPR Discussion Papers 2344, C.E.P.R. Discussion Papers.
    9. Madhavan, Ananth & Smidt, Seymour, 1993. "An Analysis of Changes in Specialist Inventories and Quotations," Journal of Finance, American Finance Association, vol. 48(5), pages 1595-1628, December.
    10. Stoughton, Neal M. & Zechner, Josef, 2007. "Optimal capital allocation using RAROC(TM) and EVA(R)," Journal of Financial Intermediation, Elsevier, vol. 16(3), pages 312-342, July.
    11. repec:bla:jecsur:v:14:y:2000:i:2:p:215-53 is not listed on IDEAS
    12. Albéric Braas & Charles N. Bralver, 1990. "An Analysis Of Trading Profits: How Most Trading Rooms Really Make Money," Journal of Applied Corporate Finance, Morgan Stanley, vol. 2(4), pages 85-90, January.
    13. Cheung, Yin-Wong & Wong, Clement Yuk-Pang, 2000. "A survey of market practitioners' views on exchange rate dynamics," Journal of International Economics, Elsevier, vol. 51(2), pages 401-419, August.
    14. René M. Stulz, 1996. "Rethinking Risk Management," Journal of Applied Corporate Finance, Morgan Stanley, vol. 9(3), pages 8-25, September.
    15. Ying‐Foon Chow & Michael McAleer & John Sequeira, 2000. "Pricing of Forward and Futures Contracts," Journal of Economic Surveys, Wiley Blackwell, vol. 14(2), pages 215-253, April.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Financial institutions; Market structure and pricing; Financial markets;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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