Разработка стратегии хеджирования валютных рисков для нефинансовой организации

The role of risk management in the modern business world is crucial for any company. However, in this regard, there are a lot of questions related to risk management. How does risk management work? One of the tools in risk management is hedging. One of numerous hedging definitions says that hedging can be defined as either an insurance contract or an activity, directed to reduction of the correlation between the purchased derivative`s value and random variable, using derivative instruments. Nowadays with the wide range of derivatives financial managers are able to provide an incredible flexibility in structuring an individual risk management strategy for the company.
However, there is still debate about the value of hedging for the company. According to finance theory the process called “hedging” can offset some losses in company`s core business by using derivatives and gaining profit on them. On the other hand this profits can be easily offset by unexpected loses. According to Modigliani-Miller in an ideal world of perfect markets, if a company decides to hedge, such decision cannot alter the company’s value. The idea is that if the markets are efficient, then it is possible to build a portfolio that copies the stock of a hedged company and conduct an arbitrage (Tufano, 1994). But even in a perfect world in an efficient market, the theorem is valid only for investors with a strictly defined investment horizon (Okulov, 2015). Indeed, in efficient markets, participants conducting arbitrage operations are risk-neutral and take into account only the expected return on a fixed investment horizon. For them risk doesn`t exist, so risk management has neither meaning nor value. In the real world, markets are not perfect and some researchers have defined various hypotheses that state that the reason of increase in company value with hedging is due to various imperfections of financial markets and features of the economic environment in which companies operate (Froot, Scharfstein, & Stein., 1993).
As the real world is imperfect, and consequently, hedging in the real markets is valuable, but costly, and there are transaction costs of hedging. This means that companies, by implementing
5
hedging, might focus on minimizing its transaction costs. In this work, the idea of moving from the generally accepted maximization of the company’s value to minimizing costs through hedging is put forward.
For the proper implementation of the hedging strategy it is essential to obtain the detailed understanding of derivative instruments as well as their applicability and costs. If used correctly these instruments reduce risk and bring value to the company. Otherwise, such instruments can be destructive for a company. For instance, if company`s expectations and predictions will not be met the company may suffer great loses. Consequently, the benefit of corporate hedging still remains controversial.
Usually, the use of hedging is associated exclusively with leveling volatility and attempts to minimize losses that the company may incur in the future. While hedging can reduce the probability of unfavorable outcome, it can cause additional costs that may offset such benefit. Based on this, companies often have nothing to justify their decision to hedge. Apparently, the company needs something to start from when making a hedging decision. Hence, there is a research gap which reflects in the absence of a clear methodology for justification of the decision to hedge.
Based on the formulated problem the following research questions are derived.