Method of optimizing market and institutional risks in...

Details Method of optimizing market and institutional risks in... Method of optimizing market and institutional risks in...

2005-08-30

2005-08-30

Patel, Jagdish N (Department: 3624)

Data processing: financial, business practice, management, or co

Automated electrical financial or business practice or...

Finance

C705S035000

Reexamination Certificate

active

06938010

ABSTRACT:
A method is provided of optimizing both market and institutional risks in foreign currency exchange hedging. The method includes the steps of selecting a VaR calculator and determining an optimization procedure to be used. The method also includes the steps of using the VaR calculator and the optimization procedure to determine an efficient frontier line and choosing trade-offs between institutional risk and market risk of losses.

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