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Book Cover
Author Xin, Hai.

Title Currency overlay : a practical guide / Xin, Hai
Edition Second edition
Published London : Risk Books, 2011


Location Call no. Vol. Availability
 MELB  332.45 Xin/Cov  AVAILABLE
Description xxxii, 490 pages ; 24 cm
Contents Introduction -- Currency overlay management -- Currency overlay: some practical choices -- FX research and choice of currency management styles -- Optimisation and hedge ratio -- Benchmark design and performance measurement -- Overlay and alpha beta separation --Options, dynamic hedging and overlay -- Emerging market currencies -- Liquidity, counterparty risk and e commerce -- Conclusions
Summary "The much-elevated volatility level of the foreign exchange spot prices and a near-seizure of the foreign exchange forward and swap market at the height of the global financial crisis seem a distant memory for some, but many investors may be feeling distinctly uneasy about the currency risk in their global investment portfolios. In 2010, within a matter of a few months, we saw a euro scare, immediately followed by a US dollar scare. And, not quite on the fringe of the global currency market, there were ominous talks about “currency wars”. Looking ahead, many investors may be pondering on not only “known unknowns” but also, increasingly, “unknown unknowns” - “interesting times”, Confucius would have wisecracked. The Second Edition of Currency Overlay: A Practical Guide does not attempt to disentangle the dense web of political, economic and sentimental factors that may drive the future moves of world's currencies. Instead, it continues to emphasise the same approach as in the First Edition: measuring currency risk separately in the portfolio, clarifying risk responsibility, using specialists where necessary, and taking control of the currency risk. The underlying message remains unchanged: the future currency moves are hard to predict, it is easy by comparison to get reasonably well prepared." -- Publisher's site
Bibliography Includes bibligraphies and index
Subject Currency overlay.
ISBN 1906348545