Title :
Evaluating strategies for foreign exchange risk reduction
Author :
Everson, Mark P. ; Mangin, Christophe G E ; Stumpo, Cody ; Schwartz, J. OAnn M ; Ostrowski, David A.
Author_Institution :
e-Technol. Dept., Ford Res. Labs., Dearborn, MI, USA
Abstract :
Companies´ risk due to foreign exchange (FX) rates can be reduced using market-based instruments. We have used the value-at-risk methodology to evaluate FX risk, and have developed a genetic algorithm-based optimization framework for evaluating different strategies. The best strategy is to hedge an identical percentage of each FX exposure
Keywords :
financial data processing; foreign exchange trading; genetic algorithms; risk management; FX exposure; company risk management; foreign exchange hedging; foreign exchange risk reduction; genetic algorithm; market-based instruments; optimization; value-at-risk methodology; Companies; Costs; Exchange rates; Fluctuations; Forward contracts; Laboratories; Portfolios; Production facilities; Reactive power; Risk management;
Conference_Titel :
Evolutionary Computation, 2002. CEC '02. Proceedings of the 2002 Congress on
Conference_Location :
Honolulu, HI
Print_ISBN :
0-7803-7282-4
DOI :
10.1109/CEC.2002.1007017
