title: Expediency of losses in arbitrage in the foreign exchange market
metadata.name: dc.contributor.author
metadata.value: Korshunov, Oleg Yu.
metadata.lang: -
metadata.name: dc.contributor.author
metadata.value: Kashcheyeva, Elena A.
metadata.lang: -
metadata.name: dc.date.accessioned
metadata.value: 2018-01-30T15:42:42Z
metadata.lang: -
metadata.name: dc.date.available
metadata.value: 2018-01-30T15:42:42Z
metadata.lang: -
metadata.name: dc.date.issued
metadata.value: 2017-12
metadata.lang: -
metadata.name: dc.identifier.citation
metadata.value: Korshunov O. Yu., Kashcheyeva E. A. Expediency of losses in arbitrage in the foreign exchange market. St Petersburg University Journal of Economic Studies, 2017, vol. 33, issue 4, pp. 602–621.
metadata.lang: en_GB
metadata.name: dc.identifier.other
metadata.value: 10.21638/11701/spbu05.2017.405
metadata.lang: -
metadata.name: dc.identifier.uri
metadata.value: http://hdl.handle.net/11701/9033
metadata.lang: -
metadata.name: dc.description.abstract
metadata.value: The article explores the feasibility of hedging a dealer’s unbalanced position in a foreign exchange market by arbitrage for previously concluded forward contracts. One technology is “reverse hedging,” which involves opening of missing spot positions to obtain risk free results. In the Russian market, this technology can translate losses of an unbalanced position into gains. The authors discuss factors of market inefficiency and their influence on the results of hedging unbalanced position through the tool of arbitrage in spot foreign exchange and credit markets. Hedging appears to be slightly different for quotes relative to upper or lower boundaries of the arbitrage corridor. Derived formulas allow estimating the financial result for cases of implementing the proposed risk minimization procedure. The authors suggest a new approach to formulating the criterion of expediency of such operations and provide its mathematical formalization based on historical data of exchange volatility and attitude to risk. Refs 15.
metadata.lang: en_GB
metadata.name: dc.language.iso
metadata.value: ru
metadata.lang: en_GB
metadata.name: dc.publisher
metadata.value: St Petersburg State University
metadata.lang: en_GB
metadata.name: dc.relation.ispartofseries
metadata.value: St Petersburg University Journal of Economic Studies;Volume 33; Issue 4
metadata.lang: -
metadata.name: dc.subject
metadata.value: arbitrage
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: forward contract
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: derivatives
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: risk hedging
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: foreign exchange market
metadata.lang: en_GB
metadata.name: dc.title
metadata.value: Expediency of losses in arbitrage in the foreign exchange market
metadata.lang: en_GB
metadata.name: dc.type
metadata.value: Article
metadata.lang: en_GB
resources.filename: 05-Korshunov.pdf
resources.url: https://dspace.spbu.ru/bitstream/11701/9033/1/05-Korshunov.pdf
resources.format: Adobe PDF
resources.size: 220,02 kB