1. Hedging Foreign Exchange Risk
for
Indian Exporters and Importers
Uwe Wystup
Version 2017

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3. Overview
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4. 50
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100 23.06.2004
11.09.2004
30.11.2004
18.02.2005
09.05.2005
28.07.2005
16.10.2005
04.01.2006
25.03.2006
25.06.2006
20.09.2006
09.12.2006
27.02.2007
18.05.2007
07.08.2007
26.10.2007
14.01.2008
03.04.2008
22.06.2008
10.09.2008
29.11.2008
17.02.2009
08.05.2009
27.07.2009
15.10.2009
03.01.2010
24.03.2010
12.06.2010
31.08.2010
19.11.2010
07.02.2011
28.04.2011
17.07.2011
05.10.2011
24.12.2011
13.03.2012
01.06.2012
20.08.2012
08.11.2012
27.01.2013
17.04.2013
06.07.2013
24.09.2013
13.12.2013
03.03.2014
22.05.2014
10.08.2014
29.10.2014
17.01.2015
07.04.2015
26.06.2015
14.09.2015
03.12.2015
21.02.2016
11.05.2016
30.07.2016
18.10.2016
06.01.2017
EUR/INR 2004 - 2017

5. FX Risk - 3 simple questions

6. FX Risk - 3 further questions

7. FX Risk - 3 harder questions

8. FX Risk - 3 questions about the core responsibility of management

9. 55
60
65
70
75
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85
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Thursday23July2015
Sunday14June2015
Wednesday6May2015
Saturday28March2015
Tuesday17February2015
Tuesday13January2015
Friday5December2014
Monday27October2014
Thursday18September2014
Sunday10August2014
Wednesday2July2014
Saturday24May2014
Tuesday15April2014
Friday7March2014
Monday27January2014
Wednesday25December2013
Thursday21November2013
Saturday19October2013
Saturday14September2013
Tuesday6August2013
Friday28June2013
Monday20May2013
Thursday11April2013
Sunday3March2013
Wednesday23January2013
Saturday15December2012
Tuesday6November2012
Friday28September2012
Monday20August2012
Thursday12July2012
Sunday3June2012
Wednesday25April2012
Saturday17March2012
Tuesday7February2012
Friday30December2011
Monday21November2011
Thursday13October2011
Sunday4September2011
Wednesday27July2011
Saturday18June2011
Tuesday10May2011
Friday1April2011
Monday21February2011
Thursday13January2011
Sunday5December2010
Wednesday27October2010
Saturday18September2010
Tuesday10August2010
Friday2July2010
Monday24May2010
Thursday15April2010
Sunday7March2010
Wednesday27January2010
Saturday19December2009
Tuesday10November2009
EUR-INR 2009-2015

10. FX Risk Problem
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11. FX Risk – Traditional Hedging Methods
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12. FX Risk – Advanced Hedging Methods
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13. Structured Products Workshop: Shark Forward
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14. Structured Products Workshop: Shark Forward
Currency pair EUR-INR
Notional Company buys 1 crore EUR
Spot reference 70
1 year forward rate 75.15
Expiry 1 Year
Worst case 77.00 (185 pips above forward)
Trigger 61.00 (900 pips below spot)
Final exchange rate Min(worst case, spot at expiry)
if trigger not touched
Upfront premium zero

15. EUR buyer Shark Forward
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exchangerate
spot at maturity
Shark Forward (EUR buyer)
shark rate
outright forward rate

16. FX Risk – Dangerous (but Tempting) Hedging Methods
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17. FX Risk Problem
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18. FX Risk – Traditional Hedging Methods
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19. FX Risk – Advanced Hedging Methods
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20. Structured Products Workshop: Shark Forward
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21. Structured Products Workshop: Shark Forward
Currency pair EUR-INR
Notional Company sells 1 crore EUR
Spot reference 70.00
1 year forward rate 75.15
Expiry 1 Year
Worst case 73.00 (215 pips below forward)
Trigger 86.75 (1675 pips above spot)
Final exchange rate Max(worst case, spot at expiry) if
trigger not touched
Upfront premium zero

22. EUR Seller Shark Forward
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70
72
74
76
78
80
82
84
86
88
90
70
72
73
75
76
78
79
81
82
84
85
87
88
exchangerate
spot at maturity
Shark Forward (EUR seller)
shark rate
outright forward rate

23. Target Forward (TRF)

24. Target Redemption FWD

25. FX Related Litigation

26. Debt Management Case Studies
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27. Currency Related Swap (CRS) Example

28. Debt Management Case Study: City of Linz vs. BAWAG

29. Debt Management Case Study: City of Linz vs. BAWAG

30. Debt Management Critical Questions

31. EUR-INR Volatility Surface 24 July 2015

32. Bloomberg OVDV example

33. EUR-INR ATM and RR 2014-2015

34. Selected Publications

35. FX Options Related Publications

36. Contact us
www.mathfinance.com
m@thfinance.com
+49 700 MATHFINANCE
+49 69 3740 3492
Frankfurt London Singapore