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Wojakowski , Rafal (1997)
Publisher: HAL CCSD
Languages: French
Types: Doctoral thesis
Subjects: Risque de change, [ SHS.ECO ] Humanities and Social Sciences/Economies and finances, [SHS.ECO] Humanities and Social Sciences/Economies and finances, couverture optimale, marché incomplet, investissement, marché à terme, contrôle optimal
Chapter 1 : Optimal dynamic level risk hedging for a corporation. An optimal hedging of the exchange rate risk for a firm is considered. The concept of the long term exchange rate risk is defined by opposition to the classic exchange rate risk. The optimal hedge of the intertemporal long term exchange rate risk is derived by the method of stochastic optimal control, in a model where the exchange rate follows a Gaussian process with return to the level of parity. It is demonstrated that such a hedge is a hedge in value, that stabilizes the dividends flow paid to shareholders and depends on the level of the exchange rate with respect to the level parity. The model is rich in practical recommendation for risk management policy in a firm. It appears that the corporation would have to hedge more if the level of the exchange rate is above the level of parity -so as to freeze profits- and to adopt an inverse behavior in the opposite case. Chapter 2 : Optimal dynamic level risk hedging for a corporation in incomplete market. We solve an incomplete markets hedging problem for a corporation exposed to a long term risk of revenue level and endowed with non-exchangeable assets. The incompleteness is generated in the model by a multiplicative and non-hedgeable risky component assimilated to the size of the cash-flow coming from abroad. The optimal policy is obtained by the method of fictitious completion. It is demonstrated that the incompleteness reduces considerably the size of the hedge, as compared to that observed in complete markets. Chapter 3 : Hedging, information arrival & investment. This article approaches aspects concerning the optimal hedging and investment decision making in a corporation. It is shown that depending on the information arrival timing and costs of external financing the optimal risk management position on the forward market varies from true hedging to pure speculation. The presence of non-tradable assets seems to be crucial.; Cette thèse se compose de trois articles: 1. Couverture du risque de change en marché complet. Cet article concerne la couverture optimale du risque de change pour une entreprise. Le concept du risque de change de long terme est défini par opposition à la conception classique du risque de change. La couverture optimale intertemporelle du risque de change de long terme est ensuite dérivée par la méthode de contrôle optimal stochastique, dans le cadre d'un modèle où le taux de change suit un processus gaussien avec retour vers le niveau de parité. Il est démontré qu'une telle couverture est une couverture en valeur, qui stabilise le flux des dividendes payés aux actionnaires et dépend du niveau du taux de change par rapport au taux de parité. Le modèle développé dans cet article est riche en recommandations pratiques pour la politique de gestion des risques dans une entreprise. Il apparaît notamment que l'entreprise devrait se couvrir plus si le niveau du taux de change est au-dessus du niveau de parité afin de geler les profits et adopter un comportement inverse dans le cas contraire. 2. Couverture du risque de change en marché incomplet Cet article concerne le problème de couverture du risque de change de long terme en présence des actifs non-échangeables dans le contexte des marchés incomplets. L'incomplétude est générée dans le modèle par un risque multiplicatif et non-couvrable de taille du flux provenant du pays étranger. La couverture optimale est obtenue par la méthode de fictitious completion. Il est démontré que l'incomplétude réduit considérablement la taille de couverture, par rapport à celle observée en marché complet. 3. Couverture du risque de change et décision d'investissement Cet article aborde les aspects concernant l'arrivée de l'information et la prise de décision de couverture optimale du risque de change et celle d'investissement pour une entreprise en présence des actifs non échangeables et coûts de financement externes.
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