This paper analyses the hedging decisions of an emerging economy which is exposed to market risks and whose debt contract is subject to collateral constraints. Within a sovereign debt model with default risk and endogenous collateral, we study the optimal choice of hedging instruments when both futures and non-linear derivatives are available. We examine in which way the hedging policy is affec...

We analyze the demand for hedging and insurance by a firm facing cash-flow risks. We study how the firm’s liquidity management policy interacts with two types of risk: a Brownian risk that can be hedged through a financial derivative, and a Poisson risk that can be insured by an insurance contract. We find that the patterns of insurance and hedging decisions are pole apart: cash-poor firms shou...

this study set out to investigate the similarities and differences in frequency of incidence and type of hedging devices used in research articles written by iranian and non-iranian writers. for the purposes of the study, a corpus including 40 agriculture articles in english (20 written by iranian and 20 by non-iranian writers) were selected. collection and classification of the hedging devices...

To deal with severe drought when water supply is insufficient hedging rule, based on hedging rule curve, is proposed. In general, in discrete hedging rules, the rationing factors have changed from a zone to another zone at once. Accordingly, this paper is an attempt to improve the conventional hedging rule to control the changes of rationing factors. In this regard, the simulation model has emp...

We analyze the optimal hedging policy of a firm that has flexibility in the timing of investment, but faces a constraint on its ability to raise external funds. By reducing the risk that the firm's ability to finance investment will disappear, hedging restores its timing flexibility and thus raises the payoff threshold required to justify investment. The principal implication of this result is ...

This paper, considers Network Failure Manufacturing System (NFPMS) and production control policy of unreliable multi-machines, multi-products with perishable items. The production control policy is based on the Hedging Point Policy (HPP). The important point in the simulation of this system is assumed that the customers who receive perishable item are placed in priority queue of the customers w...

The performance of optimal strategies for hedging a claim on a nontraded asset is analyzed. The claim is valued and hedged in a utility maximization framework, using exponential utility. A traded asset, correlated with that underlying the claim, is used for hedging, with the correlation typically close to 1. Using a distortion method [22] we derive a nonlinear expectation representation for the...

There is little empirical evidence about risk management heterogeneity across firm types. I evaluate a policy that shifts oil price risk in highway procurement from the private sector to the government, reducing the cost of hedging to zero. In a tripledifferences design using data from Kansas and Iowa, I show that firms value hedging oil price risk between the auction and commencement of work. ...

Keywords--Manufactur ing system, Steady state distribution, Preconditioner conjugate gradient method. 1. I N T R O D U C T I O N In this paper, we s tudy a two-station manufacturing system. The system consists of two reliable machines (one in each station) producing one type of product. Each product has to go through the manufacturing processes in the two stations before it is finished. The pro...