MENGELOLA RESIKO DENGAN PRODUK DERIVATIF

2008 ◽  
Author(s):  
Dandes Rifa
Keyword(s):  
Risk Management ◽  
Value At Risk ◽  
Foreign Currency ◽  
Balance Sheet ◽  
Cash Flows ◽  
Market Risks ◽  
Hedging Strategies ◽  
Operational Hedging ◽  
Potential Risks ◽  
Derivative Products

The main objective of risk management is to minimize the potential for losses (risk) arising from unexpected changes in currency rates, credit, commodities and equities. One of the risks faced by companies is market risk (value at risk). This article aims to explain that risk management can be one of them by using derivative products. Derivative transactions is very useful for business people who want to hedge (hedging) against a commodity, which always experience price changes from time to time. There are three strategies that can be used to hedge the balance sheet hedging strategy, operational hedging strategies and contractual hedging strategies. Staregi contractual hedging is a form of protection that is done by forming a contractual hedging instruments in order to provide greater flexibility to managers in managing the potential risks faced by foreign currency. Most of these contractual hedging instrument in the form of derivative products. The management can enhance shareholder value by controlling risk. -Party investors and other interested parties hope that the financial manager is able to identify and manage market risks to be faced. If the value of the firm equals the present value of future cash flows, then risk management can be justified. 

scholarly journals Risk Management System in PT. Unilever Indonesia, Tbk

2019 ◽  
Vol 3 (1) ◽  
pp. 38
Author(s):  
Rizky Amalia Sinulingga
Keyword(s):  
Risk Management ◽  
Internal Audit ◽  
Cash Flows ◽  
Risk Environment ◽  
Operational Risks ◽  
Business Results ◽  
Cleaning Agents ◽  
Result Show ◽  
Declining Demand ◽  
Potential Risks

Unilever is a multinational company produced various products which are foods, beverages, cleaning agents and personal care. One most important BoD duty are responsible for identifying and evaluating the company’s exposure to risks, and ensuring that potential risks are effectively mitigated. Effective risk management is fundamental for great business management, and Unilever Indonesia’s success as an organization depends on company ability to identify and exploit the key risks and opportunities for the business. Internal assurance and compliance monitoring are in place to review the strategy risk setting. Internal independent re-assurance (internal audit and corporate audit) and external re-assurance play a key role in ensuring that operational risks and business execution risks are properly addressed and managed. This research aims to describe the Unilever business risk matrix in the recent risk environment and concerned were assigned to manage the risks within their respective streams. The result show, the highest risk that Unilever faced is high competition because competitors have more differentiated products and declining demand for the company product. The mitigation must be implemented to reduce the loss. The company should monitor external market trends and collect feedback from consumer, Implemented research and development function to translate the trends, Regularly update business forecast of business results and cash flows and rebalance investment priorities, and also Flexible business model allows the company to adapt all portfolio and respond to develop new offerings.

scholarly journals Foreign currency borrowing and firm financing constraints in emerging markets: evidence from India

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Sanket Mohapatra ◽  
Jay Prakash Nagar
Keyword(s):  
Foreign Currency ◽  
Emerging Market ◽  
Detailed Balance ◽  
Balance Sheet ◽  
Cash Flows ◽  
Foreign Banks ◽  
Financing Constraints ◽  
Content Type ◽  
Foreign Currency Debt ◽  
The Relationship

PurposeFirst, the purpose of this study is to examine the relationship between foreign-currency debt and firms' financing constraints for India, the second-largest emerging market economy after China. Second, this study provides insights into how firms' financing constraints evolve prior to, during and after foreign currency borrowing. Third, it demonstrates the extent to which banks' ownership status and firms' characteristics influence the relationship between foreign currency borrowing and firms' financing constraints.Design/methodology/approachThis study uses detailed balance sheet data for 2,512 nonfinancial listed firms in India for the 1996–2016 period to provide new evidence on the relationship between foreign currency borrowing and firms' financing constraints. This study uses a well-known measure of firms' financing constraints, the sensitivity of investment to internal cash flows (Fazzari et al., 1988, 2000; Hubbard, 1999; Love, 2003).FindingsFinancing constraints tend to be higher for firms with foreign currency debt exposure compared to other firms. Financing constraints are higher prior to new foreign currency borrowing (FCB), but decrease subsequently. Firms that have relationships with privately owned banks or foreign banks have higher financing constraints when undertaking new FCB than those with exclusive relationships with government-owned banks. Financing constraints for firms with FCB are higher during domestic credit booms than other periods. Nonmanufacturing firms and those with lower than median export revenues and higher than median tangible assets experience greater financing constraints compared to other firms when they undertake FCB.Originality/valueThe findings of this study suggest that although firms which borrow in foreign currencies are initially more financially constrained than other firms, the foreign currency borrowing reduces their financing constraints. The findings on how global and domestic macroeconomic conditions and firm-specific characteristics influence the relationship between financing constraints and foreign currency borrowing can provide directions for policy to better leverage the benefits of international financial integration.

scholarly journals THE PERSISTENCY AND THE SUSTAINABILITY OF THE INDONESIA'S CURRENT ACCOUNT DEFICIT

2015 ◽  
Vol 17 (3) ◽  
pp. 315-338
Author(s):  
Tuti Eka Asmarani
Keyword(s):  
Risk Assessment ◽  
At Risk ◽  
Value At Risk ◽  
Current Account Deficit ◽  
Balance Sheet ◽  
Expected Shortfall ◽  
Jel Classification ◽  
Small Enterprise ◽  
Basel Committee ◽  
Market Risks

Asian and European crises were witnesses of banks’ vulnerable due to market risks. The Basel Committee requires an internal risk assessment applying Value at Risk (VaR). However, a replacement of VaR with Expected Shortfall (ES) has been suggested recently due to an excessive losses produced by banks which are beyond VaR estimations. This paper studied the risk of Indonesian banks applying a historical expected shortfall. We used JIBOR (overnight) from 2009 – 2012 as a proxy of market risk. The assessment of a historical expected shortfall of the net position of 27 banks accounts for October 2012 showed that state owned banks placed among the five highest value of each component (net position) in the balance sheet, namely placement to Bank Indonesia, interbank placement, spot and derivatives claims, securities, and loans. It means that the state owned banks had the highest risk and were the most aggressive among Indonesian banks. It might be due to carrying some of the government’s program, such as small enterprise loans.  Keywords: expected shortfall, value at risk, banks, risk. JEL Classification: D81, G210

An examination of US dollar risk management by Canadian non‐financial firms

2008 ◽  
Vol 31 (8) ◽  
pp. 570-582 ◽  
Author(s):  
Alex Faseruk ◽  
Dev R. Mishra
Keyword(s):  
Risk Management ◽  
Financial Statements ◽  
Content Type ◽  
Financial Firms ◽  
Hedging Strategies ◽  
A Value ◽  
Operational Hedging ◽  
Financial Hedging ◽  
Us Dollar ◽  
The Impact

PurposeThe purpose of this paper is to examine the impact of US dollar exchange rate risk on the value of Canadian non‐financial firms.Design/methodology/approachThe sample, from the Compustat database, includes all non‐financial Canadian firms with sales over $100 million. The study segregates firms into hedging and non‐hedging groups and applies statistical techniques to test if hedging enhances value.FindingsThe results demonstrate that Canadian firms that have higher levels of US$ sales tend to use derivatives more frequently through higher levels of US$ exposure. Firms that have both US sales and assets appear less likely to use hedging. Firms with an American subsidiary and use financial instruments to hedge have higher values. When operational hedging is used with financial hedging, it is a value enhancing activity increasing their market‐to‐book by 14 per cent and market value‐to‐sales by 40 per cent. Incremental impact of these two hedging strategies is to enhance value by 7 per cent.Research limitations/implicationsThe sample from Compustat captures large capitalization Canadian firms but ignores about 75 per cent of Canadian firms. There is a bias towards larger firms. Some hedging items are not disclosed on financial statements. A survey would enhance and complement these results.Practical implicationsThe paper finds that it is important for Canadian firms that have exports denominated in US dollars to hedge their exposure. The full value of hedging is reaped by using both operational and financial hedges.Originality/valueThis study is the first that examines US dollar risk management by Canadian firms.

scholarly journals Risk analysis model and agricultural derivative market use

2021 ◽  
Vol 12 (8) ◽  
pp. 2508-2534
Author(s):  
João Batista Ferreira ◽  
Luiz Gonzaga Castro Junior
Keyword(s):  
Risk Management ◽  
Risk Analysis ◽  
Value At Risk ◽  
Price Risk ◽  
Analysis Model ◽  
Agricultural Risk ◽  
Market Risks ◽  
Price Risks ◽  
Derivative Markets ◽  
Price Risk Management

This research aims to build conceptual guidelines regarding price risk management through the agricultural derivatives market. Specifically, to identify the common price risk management methods and strategies employed, the risk analysis models of derivative markets, and the barriers to agricultural risk management. This is an integrative review, the search for literature on the models of risk management analysis of agricultural derivatives started by listing the largest possible number of keywords on the topic, in the Scopus and Web of Science. Forty-five publications were found meeting the pre-established criteria that served as the basis for this research.  Based on the literature review, we list the main information on the subject and we also propose a theoretical model for analyzing the market risks of agricultural derivatives. Still, it was possible to notice that among the methodologies for measuring market risk, Value at Risk (VaR) stands out. We exemplify and demonstrate the existence of several statistical analyzes and mathematical models, as well as software available for the management of price risks. It is concluded that strategies with the futures and options market, even though they are the most efficient for risk management, lack incentives to become practical.

Modern methods of risk management in banks’ lending to individuals

2020 ◽  
pp. 33-41
Author(s):  
Serhiy Stepanenko ◽  
Kateryna Ampilohova
Keyword(s):  
Risk Management ◽  
Foreign Currency ◽  
Cash Flows ◽  
Mortgage Lending ◽  
Financial Condition ◽  
Consumer Lending ◽  
Loan Risk ◽  
State Of Affairs ◽  
Key Events

The article is devoted to the substantiation of risk management methods of banks’ lending to individuals. Existing approaches to understanding the nature of consumer loan are considered. The classification of loans to individuals is provided. The paper proves that consumer lending should be considered in the context of the entities, object, currency, and principles. Consumer lending by its nature as a financial phenomenon refers to the provision of funds by the lender to individuals to obtain goods, works, or services, the acquisition of which meets the specific needs of consumers by redistributing cash flows in the present and future on the principles of maturity and payment. Consumer lending is a subtype of lending to individuals along with mortgage lending. The process of formation of consumer lending in Ukraine is considered: the main periods are identified and the key events and patterns that determine the current state of affairs in the consumer lending by banks are identified. The dynamics of lending to individuals is presented along with the total amount of loans granted. The nature of lending risk and its components are given. The loans are classified into 5 groups depending on the level of credit risk. The volumes of loan debt and loan risk are calculated for all groups: the largest volumes of loans issued to individuals account for the 1st and 5th groups. The amounts of loan debts and loan risk are calculated for all groups: the bulk of the debt is concentrated in the first group - that is, these are the most reliable loans, and the amount of loan risk is the largest in the fifth group. The analysis of the structure of foreign currency loans suggests that the 1st group is formed by new loans in the domestic currency issued to entities with a strong financial condition, and the 5th - old loans, most of which are issued in foreign currency, where debtors are characterized as unreliable with critical financial condition. The lending, operational, and country risks are the main risks of lending to individuals. The classification of risk management in lending to individuals is proposed. Methods of minimizing operational risk in the course of lending to individuals are considered.

scholarly journals Comparison of Electricity Spot Price Modelling and Risk Management Applications

Energies ◽  
2020 ◽  
Vol 13 (18) ◽  
pp. 4698
Author(s):  
Ethem Çanakoğlu ◽  
Esra Adıyeke
Keyword(s):  
Risk Management ◽  
Regime Switching ◽  
Value At Risk ◽  
Optimization Problems ◽  
Management Tool ◽  
Conditional Value At Risk ◽  
Spot Price ◽  
Hedging Strategies ◽  
Regime Switching Models ◽  
Switching Models

In dealing with sharp changes in electricity prices, contract planning is considered as a vital risk management tool for stakeholders in deregulated power markets. In this paper, dynamics of spot prices in Turkish electricity market are analyzed, and predictive performance of several models are compared, i.e., time series models and regime-switching models. Different models for derivative pricing are proposed, and alternative portfolio optimization problems using mean-variance optimization and conditional value at risk (CVaR) are solved. Expected payoff and risk structure for different hedging strategies for a hypothetical electricity company with a given demand are analyzed. Experimental studies show that regime-switching models are able to capture electricity characteristics better than their standard counterparts. In addition, evaluations with various risk management models demonstrate that those models are highly competent in providing an effective risk control practice for electricity markets.

RISK MANAGEMENT OF FINANCIAL DERIVATIVES

2004 ◽  
Vol 10 (3-4) ◽  
pp. 107-126
Author(s):  
Elvis Mujacevic ◽  
Vanja Ivanovic
Keyword(s):  
Risk Management ◽  
Financial Markets ◽  
Balance Sheet ◽  
Cash Flows ◽  
Financial Derivatives ◽  
Management Systems ◽  
Financial Instruments ◽  
Factors Associated ◽  
For Profit ◽  
And Control

Financial derivatives come in many shapes and forms, including futures, forwards, swaps, options, structured debt obligations and deposits, and various combinations thereof. Some are traded on organized exchanges, whereas others are privately negotiated transactions. Derivatives have become an integral part of the financial markets because they can serve several economic functions. Derivatives can be used to reduce business risks, expand product offerings to customers, trade for profit, manage capital and funding costs, and alter the risk-reward profile of a particular item or an entire balance sheet. Although derivatives are legitimate and valuable tools for banks and corporations, like all financial instruments they contain risks that must be managed. Managing these risks should not be considered unique or singular. Risks associated with derivatives are not new or exotic. They are basically the same as those faced in traditional activities (e.g., price, interest rate, liquidity, credit risk). Fundamentally, the risk of derivatives (as of all financial instruments) is a function of the timing and variability of cash flows. It is very important to understand the various risk factors associated with business activities and to establish appropriate risk management systems to identify, measure, monitor, and control exposure and risk associated with derivatives.

scholarly journals RISK OF INDONESIAN BANKS: AN APPLICATION OF HISTORICAL EXPECTED SHORTFALL METHOD

2015 ◽  
Vol 17 (3) ◽  
pp. 299-314
Author(s):  
Nevi Danila ◽  
Bunyamin Bunyamin ◽  
Siti Munfaqiroh
Keyword(s):  
Risk Assessment ◽  
At Risk ◽  
Value At Risk ◽  
Balance Sheet ◽  
Market Risk ◽  
Expected Shortfall ◽  
Jel Classification ◽  
Small Enterprise ◽  
Basel Committee ◽  
Market Risks

Asian and European crises were witnesses of banks’ vulnerable due to market risks. The Basel Committee requires an internal risk assessment applying Value at Risk (VaR). However, a replacement of VaR with Expected Shortfall (ES) has been suggested recently due to an excessive losses produced by banks which are beyond VaR estimations. This paper studied the risk of Indonesian banks applying a historical expected shortfall. We used JIBOR (overnight) from 2009 – 2012 as a proxy of market risk. The assessment of a historical expected shortfall of the net position of 27 banks accounts for October 2012 showed that state owned banks placed among the five highest value of each component (net position) in the balance sheet, namely placement to Bank Indonesia, interbank placement, spot and derivatives claims, securities, and loans. It means that the state owned banks had the highest risk and were the most aggressive among Indonesian banks. It might be due to carrying some of the government’s program, such as small enterprise loans. Keywords: expected shortfall, value at risk, banks, risk. JEL Classification: D81, G210

Mortgage Securitization; Pricing and Risk Management

2017 ◽  
Author(s):  
Radu S. Tunaru
Keyword(s):  
Risk Management ◽  
Real Estate ◽  
Cash Flows ◽  
Mortgage Loans ◽  
Financial Instrument ◽  
Mortgage Securitization ◽  
Period Derivative

This chapter captures an overview of how real-estate risk is transferred to investors through securitization channels. A large part is dedicated to a less known financial instrument called balance guaranteed swap, which is a type of multi-period derivative contingent on cash-flows generated by a pool of mortgage loans. Emphasis is placed on the problems arising from modelling cash-flows and also revealed is the difficult task of dynamically managing the risk of the balance guaranteed swaps.

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