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Currency Overlay - A Practical Guide

By: Hai Xin

Our price: 85 + postage

Product code: 19930
ISBN: 1904339174
395 pages
Format: Pb
Published by: Risk Books, 2003

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Currency Overlay - A Practical Guide - front page cover image

Description of Currency Overlay - A Practical Guide

Provides comprehensive coverage of currency overlay management in investment portfolios while alerting you to all of the various methods and models you will need to stay at the forefront of this challenging field.

- The author provides an objective analysis of the various tools available for currency management as well as examines the practical applications of the theories that are discussed.

- Practical examples are supported by clear diagrams, figures and tables making the text highly accessible even to those who are new to the area of currency risk.

- Topics covered include: defining and decomposing currency returns, foreign exchange research and choice of currency management styles, optimisation and hedge ratio, benchmark design and performance measurement, option pricing theory and dynamic hedging, emerging market currencies, liquidity, e-commerce and much more.

Published in association with UBS

Currency Overlay - A Practical Guide - Chapter headings

1. Introduction
1.1 A Brief History of Modern Currencies
1.2 Some Facts About the Foreign Exchange Market
1.3 What is Special About Currencies?
1.4 Foreign Exchange Risk Management and Currency Overlay
1.5 About this Book

2. A Primer on Currency Risk
2.1 Introduction
2.2 Defining and Decomposing Currency Returns
2.3 A Simple Descriptive Tour of Currency Risks
2.4 Choice of Currency Management Styles
2.5 Risk Separation and Risk Responsibility

3. Currency Overlay Management
3.1 Introduction
3.2 Origins and Development of Currency Overlay
3.3 Definitions of Currency Overlay
3.4 What an Overlay Process Looks Like in Practice
3.5 Advantages of Employing Currency Overlay
3.6 Trends and Opportunities in Currency Overlay
3.7 Currency Overlay Managers: What do they do?
3.8 Historical Performance
3.9 Outsourcing Currency Management
3.10 Trading Styles
3.11 Overlay and Prime Brokerage

4. Foreign Exchange Research and the Choice of Currency Management Style
4.1 Introduction
4.2 Purchasing Power Parity (PPP) Based Models
4.3 Back to Fundamentals: Macro Models for Foreign Exchange Determination
4.4 Technical Analysis
4.5 Quantitative Models
4.6 Some Other Practicalities
4.7 Summary: Relevance of Forecast Models in a Portfolio Management Context

5. Optimization and Hedge Ratios
5.1 Introduction
5.2 CAPM and Currencies
5.3 CAPM, Foreign Exchange Hedging and Overlay
5.4 Global Optimization and the Role of Currency
5.5 Hedge Ratios
5.6 Asset-liability Optimization
5.7 Currency Basket Hedging
5.8 Sector-based Investment and Currency Management

6. Benchmark Design and Performance Measurement
6.1 Introduction
6.2 Setting a Good Benchmark
6.3 Customized Benchmarks: Risk Separation and Risk Responsibility
6.4 Dissecting Currency Returns
6.5 The Currency Surprise Approach
6.6 The Excess Return Approach
6.7 Holding-based Benchmarks
6.8 Adjustment Style
6.9 Other Practical Considerations
6.10 Performance-based Benchmarks

7. Option Pricing Theory and Dynamic Hedging
7.1 Introduction
7.2 Option Replication and Dynamic Hedging
7.3 Transaction Costs and Option Replication
7.4 Portfolio Insurance
7.5 The Redundancy of Options
7.6 Skews and Smiles
7.7 Trading Opportunities in the Options Market
7.8 Some Volatility-based Trading Schemes
7.9 Speaking Greek - Some Closing Comments

8. Emerging Market Currencies
8.1 Background
8.2 Special Characteristics of Emerging Market Currencies
8.3 Forward Bias and Emerging Market Currencies
8.4 Implied Volatility
8.5 Other Related Issues
8.6 Summary

9. Liquidity, Online Dealing and E-Commerce
9.1 Introduction
9.2 Foreign Exchange Liquidity: Theory and Reality
9.3 E-commerce
9.4 Custodian Banks and eFX

10. Conclusions and an Overlay Checklist
10.1 Summary of the Main Arguments
10.2 A Currency Overlay Checklist

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