Exchange rate risk management for contractors within a hybrid payment scheme: a case study in Punta del Este, Uruguay

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Risk Model Validation Pub Date : 2023-01-01 DOI:10.21314/jrmv.2023.011

Martin Egozcue

引用次数: 0

Abstract

This paper investigates the strategies contractors can employ to mitigate the exchange rate risks in hybrid payment systems. In our analysis, contractors face exchange rate risk, due to mismatches between their revenue and cost currencies, as well as property price risk, since they receive a portion of their revenue in the form of dwelling units. We rigorously compare the performance of three distinct risk models within the context of real estate development in Punta del Este, Uruguay. By evaluating these models against empirical data from a hypothetical project, our research provides valuable insights into their effectiveness in managing exchange rate risk. This addresses the critical need to validate risk models in the emerging real estate market of Punta del Este. Our analysis demonstrates a significant reduction in risk and higher expected profits compared with strategies that do not involve hedging.

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混合付款方案下承包商的汇率风险管理:乌拉圭埃斯特角城的案例研究

本文研究了在混合支付系统中，承包商可以采取的降低汇率风险的策略。在我们的分析中，承包商面临着汇率风险，因为他们的收入和成本货币之间不匹配，以及房地产价格风险，因为他们以住宅单位的形式获得部分收入。我们严格比较在乌拉圭埃斯特角城房地产开发背景下三种不同风险模型的表现。通过对这些模型与来自一个假设项目的经验数据进行评估，我们的研究为它们在管理汇率风险方面的有效性提供了有价值的见解。这解决了在埃斯特角城新兴房地产市场验证风险模型的关键需求。我们的分析表明，与不涉及对冲的策略相比，风险显著降低，预期利润更高。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Risk Model Validation BUSINESS, FINANCE-

CiteScore

1.20

自引率

28.60%

发文量

期刊介绍： As monetary institutions rely greatly on economic and financial models for a wide array of applications, model validation has become progressively inventive within the field of risk. The Journal of Risk Model Validation focuses on the implementation and validation of risk models, and aims to provide a greater understanding of key issues including the empirical evaluation of existing models, pitfalls in model validation and the development of new methods. We also publish papers on back-testing. Our main field of application is in credit risk modelling but we are happy to consider any issues of risk model validation for any financial asset class. The Journal of Risk Model Validation considers submissions in the form of research papers on topics including, but not limited to: Empirical model evaluation studies Backtesting studies Stress-testing studies New methods of model validation/backtesting/stress-testing Best practices in model development, deployment, production and maintenance Pitfalls in model validation techniques (all types of risk, forecasting, pricing and rating)