Döviz riski yönetimi
Currency risk management
- Tez No: 66463
- Danışmanlar: DOÇ. DR. MEHMET BOLAK
- Tez Türü: Yüksek Lisans
- Konular: Mühendislik Bilimleri, İşletme, Engineering Sciences, Business Administration
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 1997
- Dil: Türkçe
- Üniversite: İstanbul Teknik Üniversitesi
- Enstitü: Fen Bilimleri Enstitüsü
- Ana Bilim Dalı: İşletme Mühendisliği Ana Bilim Dalı
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 123
Özet
ÖZET Uluslararası ekonomik ve finansal işlemlerin hacminin artması ve dünyadaki birçok ülkenin konvertibiliteye geçmesi, en büyüğünden en küçüğüne işletmelerin ve finansal kuruluşların döviz ile ilgili işlemlerde bulunmalarını gerekli kılmıştır. Daha önceki dönemlerde yalnız mal ve hizmet hareketlerinin yönlendirdiği döviz kurları, döviz kurlarının piyasa dinamiklerine göre serbestçe belirlenmesi esasına dayanan serbest kur sistemine geçilmesinden sonra uluslararası sermaye hareketlerinden de büyük ölçüde etkilenir olmuştur. Finansal piyasaların entegrasyonu ile artan uluslararası sermaye akımları döviz kurlarının değişkenliğini artırınca, iktisadi faaliyetlerinde döviz kullanan tüm işletmeler ve döviz pozisyonu tutan finansal kuruluşlar ciddi bir döviz riski ile karşı karşıya kalmışlardır. Döviz riski yönetimi, gelecekteki döviz kuru dalgalanmalarından kaynaklanan döviz riskinin, karı en az etkileyecek şekilde azaltılmasını sağlayacak korunma yöntemlerini ifade eder. Döviz riskinin yönetiminde kullanılan finansal araçlar ve bu araçların biraraya getirilmesiyle oluşturulan finansal stratejiler, döviz riski ile karşı karşıya olan işletmelerde her geçen gün daha da yaygın olarak kullanılmaktadır. Döviz riski yönetim araçları forward döviz anlaşmaları, döviz futures kontratları, döviz swaplan ve döviz opsiyonları olarak dört grupta toplanabilir. Döviz riskini yönetmede, bu araçları kullanarak, sınırsız sayıda strateji üretilebilir. Her işletme kendi risk profiline uygun riskten korunma stratejisini bu finansal araçları kullanarak oluşturabilir. Günümüzde gelişmiş ülkelerin hemen hepsinde yaygın olarak kullanılan bu araç ve stratejilere ülkemizde de giderek artan oranda gereksinim duyulmaktadır. Ancak içinde bulunduğumuz ekonomik istikrarsızlık, yüksek enflasyon ve faiz oranları bu tekniklerin kullanılmasını hem daha gerekli hale getirmekte, hem de daha da zorlaştırmaktadır. Yine de piyasaların, makroekonomik veriler çerçevesinde daha etkin işleyebilmesi ve yurtdışı piyasalar ile entegrasyonun hızlı biçimde sağlanabilmesi için, bahsi geçen araç ve stratejilerin kullanılması bir lüks değil, mecburiyet halini almıştır.
Özet (Çeviri)
SUMMARY CURRENCY RISK MANAGEMENT As the multinational corporation becomes more frequent than ever, the need to internationalise the tools of financial analysis became more necessary. The increase in the volume of international economic and financial transactions has brought the necessity to deal with more foreign exchange trade for corporations. The trading of currencies takes place in foreign markets whose primary function is to facilitate international trade and investment. The purpose of foreign exchange markets is to permit transfers of purchasing power denominated in one currency to another. The major participants in foreign exchange markets are,. large commercial banks;. foreign exchange brokers in the interbank market;. commercial customers primarily multinational corporations;. central banks which intervene in the market from time to time to smooth exchange rate fluctuations or to maintain target exchange rates. After the era of Bretton Woods system fell apart, most countries switched to the floating rate mechanism to value their currencies in the markets. Within this system the dynamics of the markets preserve the currency fluctuations. Currency values float daily in relation to one another, largely in response to the forces of supply and demand since the Bretton Woods system has collapsed. Before the World War II. mostly the values of goods and services traded were decisive in cross rates. In modern times with the technological developments easing the movement of money between all parts of the globe also caused flow of capital from one country to another and started to affect the exchange rates more than international trade itself. Especially speculative trading in foreign exchange markets has enormously increased the volatility of currencies which are highly traded.This kind of trade is taking place in a multiplying pace mostly in the 1980's and 1990's. Therefore extreme integration of financial markets with rapid flow of capital creating a more volatile foreign exchange environment also made the multinational companies performing intra-border trade more exposed to foreign exchange risk. Currency risk, which is actually the risk of diminishing capital due to changes in currency values, started to occur more often after the free fluctuation of exchange rates along with an increase in trade among countries. This made the currency risk more important than ever as the magnitude of loss rising from currency movements became greater for multinationals and financial institutions trading in foreign exchange markets. The management of foreign exchange risk has become more important and more difficult to manage in the last 20 years and especially so in the current decade. Foreign exchange exposure arises when a corporation has transactions in currencies other than the domestic currency. As foreign exchange rates change, the value of the transactions or the value of net assets or liabilities in foreign currency changes when translated into the domestic currency. Accordingly, foreign exchange gains and losses arise. The magnitude of the potential cost of the foreign exchange rate will depend to a large extent on how the related risks are defined. Accounting standards in most developed industrial countries vary and, accordingly, definitions of exposure and method selections for foreign exchange risk hedging do as well. Furthermore, companies themselves, even if they are located in the same financial environment and are using the same accounting standards, define exposures in various ways using different concepts. Also, the variety of financial instruments available, makes the decision process faced by many firms a difficult one. The concept of HEDGING (protection) includes the techniques to minimise the effects of possible unexpected currency rate fluctuations. It is also the main guide for the decisions of players in these international markets. Actual hedging techniques are as numerous and as imaginative as one would expect from the highly competent international treasurers and bankers who work in this area. Basically these techniques can be broken down into three general categories: forward cover in the foreign exchange market; management of balance sheet assets and liabilities; and anticipatory price planning. A similar classification of the hedging techniques can be made with the distinction between internal and external hedges. Internal hedges are actioned by a company as a way to avoid or reduce exposure from arising in XIthe first place. Methods mentioned above, namely, matching of balance sheet assets and liabilities or hedging through pricing actions fall under this category. External hedges should in general be used to eliminate or reduce exposure remaining after use of internal techniques. They aim at insuring against the possibility that losses will result from an exposed position that internal hedges were not able to eliminate. For the major convertible currencies there are several actions one can take, either through the local money market or in the international foreign exchange market, to protect against exchange rate losses. Examples of forward hedge in the foreign exchange market are forward contracts (outright forward, spot/forward, forward/forward or forward options), currency options and currency futures. A common failing of exposure management in many corporations is that the management of currency risk does not begin until after the exposure has been generated. Decision making in foreign exchange risk management should begin before exposure have been generated. Corporations should take necessary actions to clearly define potential risks that are caused by fluctuating market rates, and develop their strategies prior to facing a loss situation. The above definitions of foreign currency risk are true for corporations all over the world. However, when we look at the situation of Turkish firms facing such exposures, we observe that the hedging alternatives they can utilise are very limited. Current economic conditions in Turkey and the weakness of Turkish lira with comparison to major currencies are the two main factors delaying the integration process of the Turkish market with world markets. The purpose of this study is to outline some basic concepts in currency risk management. The history of foreign exchange market starts with the gold standard period. Until 1930' s governments were using a fixed exchanged rate system on gold and silver standards, and stood ready to redeem currencies they issued against a specified amount of gold or silver. The era of gold convertibility came to an end with the coming of the great depression. The basis of the post-war economic system was laid in 1944 at an international conference held in Bretton Woods. The Bretton Woods System was a return to gold standard, and was also pegging par-values of XIIconvertible currencies against U.S. dollar. The system of fixed exchange rates continued without much problem until late 1960' s, but in 1973 with the recognition that fixed exchange rates no longer worked, the era of floating rates started. The introduction of the floating exchange rates which replaced the Bretton Woods System of fixed exchanged rates, and increasing government intervention policies by most westernised economies brought the exchange market to its current status. In the second part of the study, the chronological development of exchange rates is summarised. The foundation, rules, and the effectiveness of each exchange system are briefly explained. In the third part, the unique-price rule that is used to explain the valuation of exchange rates within the economy and the four different theories driven from this rule are explained one by one with the given examples. These theories are used, ceteris paribus, to guess about the future values of the exchange rates. In the fourth part, the general characteristics of the money and the currency markets are explained and the transaction mechanisms, the actors of the market, and their functions within the market are stated. Meanwhile the transaction procedures of the exchange market in Turkey is also discussed. In the fifth part, the spot currency markets and the main characteristics of the transactions in these markets are explained. Increased volatility that came with the floating exchange rates, caused both corporations and financial institutions to be more careful about the management of their foreign currency exposure. In the sixth part the concepts of currency risk, types of currency risk, and currency position are taken into account and how the companies would be affected by the currency risk and the currency position is explained. A general introduction to the instruments used to manage the currency risk is also given in this part. With definition of“foreign currency position”, corporations have a tool to identify in their books the currencies where they have potential risks. The classification of“over bought”,“oversold”and“square”positions gives an idea on the direction and extent of the currency risk at any one time. Having defined the risks by exchange rate movements, in the seventh part, the most common instruments used to manage the currency risk, forward currency contracts, where to use it and the pricing techniques of currency forward contracts are explained by examples. Also a different XIIIapplication of currency forward contracts, the other forward currency transactions are stated. In the eighth part, the general characteristics of the future markets, that is widely used in the risk management, the conditions to enter these markets, currency future contracts, how to use the future contracts in risk management are explained by examples. In the next part, the general characteristics of the most recent and the most complex instrument used to manage financial risk, the options, the mechanisms of the options markets, the basic concepts about the option contracts, the different types of option contracts and the mathematical relationship between these contracts, currency options, the factors that influence the value of the options, the concept of volatility which is a measure of the fluctuations in the financial assets' prices, the valuation of option contracts in the Black-Sholes option pricing model perspective, hedging by options, and the option strategies that are formed by gathering the different types of options together are explained in detail. In the last part, the most widely used flexible instrument in currency risk management, currency swaps, the purpose of their usage, and the working principles of the swap markets are stated. Paralleling the development of the money and capital markets, a variety of financial techniques are being developed to be used in financial risk management. The techniques stated are formed by compromising the financial instruments already explained within this study. Within the macroeconomical data, in order to sustain an efficient and integrated market, the usage of mentioned tools and strategies has become a necessity, not a luxury. And, in a nation as emerging as ours, where so much depends on enlightenment at the ballot box, it becomes extra crucial that the currency risk managing techniques be understood. XIV
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