Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

PL EN


2012 | 4(13) | 11-28

Article title

An analysis of toxic derivatives use by Polish companies

Title variants

PL
Analiza wykorzystywania przez polskie przedsiębiorstwa toksycznych instrumentów pochodnych

Languages of publication

EN

Abstracts

EN
The paper presents the method and results of simulation experiments on the Polish enterprises use of asymmetric option strategies, or so called toxic derivatives, as a measure of euro currency exchange rate risk hedging. The main goal of our research was to find out if the decision to use asymmetric option strategies could be considered as a decision leading to a decrease in risk carried by enterprises in normal market conditions. We also look for an answer to the question of what were the effects of using the chosen hedging strategy in a time horizon of one quarter and one year, with changing market conditions considering the euro currency exchange rate. Using the Monte Carlo simulation, we compared the financial results produced by enterprises without hedging, with simple put option hedging and with asymmetric option strategies.

Year

Issue

Pages

11-28

Physical description

Dates

published
2012

Contributors

  • Uniwersytet Ekonomiczny w Poznaniu
  • Uniwersytet Ekonomiczny w Poznaniu

References

  • Andrzejewski M., Anatomia i mechanizm działania wirusa wywołującego kryzys finansowy w Polsce, czyli rzecz o asymetrycznych, złożonych instrumentach pochodnych w ujęciu mikro- i makroekonomicznym – wyniki badań naukowych, Uniwersytet Ekonomiczny w Krakowie, Kraków 2009.
  • Czapiewski L., Mizerka J., Nowaczyk T., Zarządzanie ryzykiem rynkowym w firmie: ujęcie modelowe, [in:] Zarządzanie finansami firm: teoria i praktyka, ed. B. Bernaś, Wydawnictwo UE, Wrocław 2009.
  • Breeden D., Viswanathan S., Why do Firms Hedge? An Asymmetric Information Model, Duke University Working Paper, 1996.
  • DeMarzo P.M., Duffie D., Corporate incentives for hedging and hedge accounting, “Review of Financial Studies” 1995, no 8(3).
  • Froot K.A., Scharfstein D.S., Stein J.C., Risk management: Coordinating corporate investment and financing policies, “Journal of Finance” 1993, no 48.
  • Hull J., Kontrakty terminowe i opcje. Wprowadzenie, WIG Press, Warszawa 1997.
  • Judge A., Why do firms hedge? A review of the evidence, “Issues in Finance and Monetary Policy”, July 2006.
  • Karkowski P., Toksyczne opcje – od zaufania do bankructwa, Greencapital, Warszawa 2009.
  • Smith C.W., Stulz R.M., The determinants of firms’ hedging policies, “Journal of Financial and Quantitative Analysis” 1985, no 20.
  • Stulz R.M., Managerial discretion and optimal financing policies, “Journal of Financial Economics” 1990, no 26(1).
  • Stulz R.M., Rethinking risk management, “Journal of Applied Corporate Finance” 1996, no 9(3).
  • Urząd Komisji Nadzoru Finansowego, Podstawowe wnioski z analizy zaangażowania przedsiębiorstw w walutowe instrumenty pochodne, http://www.knf.gov.pl/komisja_i_urzad_komisji/komisja/komunikaty_knf/komunikaty.html#0309, downloaded 9 April 2009.

Document Type

Publication order reference

Identifiers

YADDA identifier

bwmeta1.element.desklight-c1259802-ea13-44e2-b662-6eace51e709f
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.