Contents
Question 2..................................................................................................................................1
Report on 20th October 2017...................................................................................................1
Introduction.........................................................................................................................1
Need For hedging the upcoming transaction and details of the appropriate hedging
strategy................................................................................................................................2
Conclusion..........................................................................................................................3
Report on 10th March 2018....................................................................................................3
Introduction.........................................................................................................................3
Performance of the foreign transaction hedge....................................................................4
Margin Account..................................................................................................................4
Conclusion..........................................................................................................................8
Question 3..................................................................................................................................9
Report to the advisory board................................................................................................10
Risks faced by the portfolio and VAR analysis................................................................10
Portfolio Risk:...................................................................................................................10
Portfolio VAR:..................................................................................................................11
Different VAR estimates..................................................................................................12
Back-testing......................................................................................................................14
Use of derivatives to improve the VAR estimates............................................................15
References................................................................................................................................16
Appendix..................................................................................................................................17
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