Testowanie reakcji przedsiębiorstwa na ryzyko kursowe z wykorzystaniem metod Monte Carlo
Testing enterprise reaction to currency risk using Monte Carlo methods

Summary/Abstract: Responding to currency risk generally means transferring risk to another entity. Risk is transferred using proper derivatives, mainly currency options. Enterprises often use complex protective strategies which involve many currency options atthe same time. Some of the possible strategies may increase the exposition to currency risk. Toxic strategies can be identified and tested using Monte Carlo approach. Simulation provides a clear view of risk at the level of probability distribution of the financial category under protection.

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