scholarly journals THE IMPLEMENTATION OF RISK MANAGEMENT OF FOREIGN EXCHANGE INVESTMENT AT PT. BEST PROFIT FUTURES MALANG

2019 ◽  
Vol 8 (1) ◽  
Author(s):  
Ulfa Puspitasari
Keyword(s):  
Risk Management ◽  
Interest Rates ◽  
Price Change ◽  
Market Volatility ◽  
Investment Risk ◽  
Fundamental Analysis ◽  
Political Event ◽  
Technical And Fundamental Analysis ◽  
High Investment ◽  
Descriptive Method

This study aimed (1) to determine the risk of forex investments and (2) to figure out the implementation of risk management on forex. This study used descriptive method to examine a brokerage firm located in Malang named PT Best Profit Future Malang. Based on the results, it was found that the risks in forex investment were a floating risk of market circumstances, price change, overnight, interest rates and political event. The analysis used to determine the volatility of the forex market were technical and fundamental analysis. Technical analysis used an accurate historical rates and calculations whereas fundamental analysis used information and market news. Forex investment had a high investment risk if market volatility was not favorable, so the risk management was urgently required. Therefore, there were five risk managements; hold, aver4age, limit loss/locking, switching, and cut loss.

New tool for stock investment risk management

2019 ◽  
Vol 120 (2) ◽  
pp. 388-405
Author(s):  
Yi Sun ◽  
Quan Jin ◽  
Qing Cheng ◽  
Kun Guo
Keyword(s):  
Risk Management ◽  
Stock Price ◽  
Price Change ◽  
Machine Learning Algorithms ◽  
Investor Behavior ◽  
Investment Risk ◽  
Individual Investor ◽  
Stock Selection ◽  
Content Type ◽  
Stock Investment

Purpose The purpose of this paper is to propose a new tool for stock investment risk management through studying stocks with what kind of characteristics can be predicted by individual investor behavior. Design/methodology/approach Based on comment data of individual stock from the Snowball, a thermal optimal path method is employed to analyze the lead–lag relationship between investor attention (IA) and the stock price. And machine learning algorithms, including SVM and BP neural network, are used to predict the prices of certain kind of stock. Findings It turns out that the lead–lag relationships between IA and the stock price change dynamically. Forecasting based on investor behavior is more accurate only when the IA of the stock is stably leading its price change most of the time. Research limitations/implications One limitation of this paper is that it studies China’s stock market only; however, different conclusions could be drawn for other financial markets or mature stock markets. Practical implications As for the implications, the new tool could improve the prediction accuracy of the model, thus have practical significance for stock selection and dynamic portfolio management. Originality/value This paper is one of the first few research works that introduce individual investor data into portfolio risk management. The new tool put forward in this study can capture the dynamic interplay between IA and stock price change, which help investors identify and control the risk of their portfolios.

scholarly journals Risk Management for Bonds with Embedded Options

Mathematics ◽  
2020 ◽  
Vol 8 (5) ◽  
pp. 790
Author(s):  
Antonio Díaz ◽  
Marta Tolentino
Keyword(s):  
Risk Management ◽  
Interest Rate ◽  
Interest Rates ◽  
Interest Rate Risk ◽  
Interest Rate Models ◽  
Management Measures ◽  
Interest Rate Risk Management ◽  
Embedded Options ◽  
The Interest Rate ◽  
Interest Rate Change

This paper examines the behavior of the interest rate risk management measures for bonds with embedded options and studies factors it depends on. The contingent option exercise implies that both the pricing and the risk management of bonds requires modelling future interest rates. We use the Ho and Lee (HL) and Black, Derman, and Toy (BDT) consistent interest rate models. In addition, specific interest rate measures that consider the contingent cash-flow structure of these coupon-bearing bonds must be computed. In our empirical analysis, we obtained evidence that effective duration and effective convexity depend primarily on the level of the forward interest rate and volatility. In addition, the higher the interest rate change and the lower the volatility, the greater the differences in pricing of these bonds when using the HL or BDT models.

Macroeconomic Variables and Sukuk Outstanding in Indonesia

2021 ◽  
Vol 4 (6) ◽  
pp. 561-570
Author(s):  
Nur Habibah Asri ◽  
Dwi Wulandari
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Causal Relationship ◽  
19Th Century ◽  
Significant Relationship ◽  
Vector Autoregression ◽  
Macroeconomic Variables ◽  
Quantitative Descriptive ◽  
The 19Th Century ◽  
Descriptive Method

Sukuk or Sharia bonds are one of the investment instruments in Indonesia. Since the 19th century, Sukuk has become popular with investors. Several previous studies found contradictory results that macroeconomic variables have a relationship and influence on Sukuk by observing the year before the pandemic. This study uses a quantitative descriptive method with a Vector Autoregression (VAR) approach. Through the optimum lag value, namely, lag 3, statistically it was found that there was a significant relationship between the variables of GDP, interest rates, and the exchange rate on Sukuk. In addition, several analysis results found a causal relationship between these variables.

Derivati ed economie regionali

2012 ◽  
pp. 421-435
Author(s):  
Loris Nadotti
Keyword(s):  
Risk Management ◽  
Local Government ◽  
Interest Rates ◽  
Financial Risk ◽  
Financial Risk Management ◽  
Interest Costs

Negli ultimi anni č cresciuta la sensibilitŕ dei gestori della finanza degli enti pubblici locali italiani per il rischio causato dalle variazioni dei tassi di interessi e per gli effetti che queste producono sui costi per interessi. Si č passati progressivamente da una gestione passiva degli strumenti di debito al cosiddetto financial risk management, inteso come metodo per il controllo dei rischi finanziari. Scopo dell'articolo č dimostrare come l'uso dei derivati finanziari, in queste circostanze e compatibilmente con il quadro normativo in vigore puň costituire una opportunitŕ ma, se non correttamente amministrato, anche una fonte aggiuntiva di rischi. Nell'articolo si delinea il quadro normativo e quantitativo riferito alla situazione italiana nell'ultimo decennio e si formulano alcune proposte per la gestione delle operazioni in derivati da parte degli enti della pubblica amministrazione locale italiana. In recent years, the sensitivity of the managers of the finance of Italian local government for the risk caused by changes in interest rates and the effects they produce on interest costs rose.

LOW-FREQUENCY VOLATILITY AND MACROECONOMIC DYNAMICS: CONVENTIONAL VERSUS ISLAMIC STOCK MARKETS

2020 ◽  
pp. 1-28 ◽  
Author(s):  
HONG-BAE KIM ◽  
A.S.M. SOHEL AZAD
Keyword(s):  
Interest Rates ◽  
Stock Markets ◽  
Low Frequency ◽  
Frequency Component ◽  
Market Volatility ◽  
Macroeconomic Dynamics ◽  
Macroeconomic Factors ◽  
Macroeconomic Risk ◽  
Islamic Countries ◽  
The Relationship

This study investigates the relationship between macroeconomic risk and low-frequency volatility of conventional and Islamic stock markets from around the world. Using a panel of 36 countries, representing developed, emerging and Islamic countries for the period from 2000 to 2016, the study finds that low-frequency market volatility is lower for Islamic countries and, markets with more number of listed companies, higher market capitalization relative to GDP and larger variability in industrial production. The study also finds that low-frequency component of volatility is greater when the macroeconomic factors of GDP, unemployment, short-term interest rates, inflation, money supply and foreign exchange rates are more volatile. The empirical results are robust to various alternative specifications and split sample analyses. The findings imply that religiosity has an influence on the correction of market volatility and investors may consider the Islamic stocks to diversify their risks.

Sign in / Sign up

Export Citation Format

Share Document