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        An analysis on credit-adjusted corporate hedging strategies

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        Publication date
        2018
        Author
        Hoencamp, J.H.
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        Summary
        This thesis quantifies the potential gains and risks that are associated to rolling hedging strategies related to interest rate- and cross-currency swaps. The investigation is performed using a multi-currency interest rate model in combination with a foreign exchange rate model. Through Monte Carlo methods, potential future market scenarios are simulated, which allow for the composition of risk-profiles associated to different rolling strategies.
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        https://studenttheses.uu.nl/handle/20.500.12932/29718
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