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RISK-COST ANALYSIS OF CURRENCY EXPOSURE REDUCTION FOR CURRENCY EXPOSURE MANAGEMENT

机译:风险暴露管理中的风险暴露减少的风险成本分析

摘要

Methods and apparatuses enable companies to analyze potential foreign currency exposure reduction actions. Value-at-risk (VaR) for currency exposures and cost of potential exposure reduction actions are used to order currency exposures representing foreign currency exposure for a company. Currency exposures associated with negative cost actions are ordered based on a ratio of VaR to cost. Currency exposure associated with positive cost actions can also be ordered, either based on VaR or cost. An output representation of the VaR versus accumulated cost is generated from the ordered currency exposures. Additionally, a graphical representation of VaR versus accumulated cost can be generated from plot points based on the ordered currency exposures. The output representation, whether a table, list, or graph, allows comparing potential exposure reduction actions.
机译:方法和设备使公司能够分析潜在的减少外汇风险。货币风险敞口的风险价值(VaR)和减少潜在风险敞口的成本用于订购代表公司外币风险的货币风险。与负成本行为相关的货币敞口是根据VaR与成本之比排序的。也可以基于VaR或成本来订购与正成本操作相关的货币敞口。从订购的货币敞口中可以得出VaR对累计成本的输出表示。此外,可以基于订购的货币敞口,从绘图点生成VaR对累计成本的图形表示。输出表示(无论是表格,列表还是图形)都可以比较潜在的减少暴露的措施。

著录项

  • 公开/公告号EP2483860A2

    专利类型

  • 公开/公告日2012-08-08

    原文格式PDF

  • 申请/专利权人 RIM TECH INC.;

    申请/专利号EP20100821356

  • 发明设计人 KOESTER WOLFGANG J.;

    申请日2010-10-01

  • 分类号G06Q40/00;

  • 国家 EP

  • 入库时间 2022-08-21 17:12:04

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