Целесообразность убыточных арбитражных операций на валютном рынке

Олег Юрьевич Коршунов; Елена Аркадьевна Кащеева

doi:10.21638/11701/spbu05.2017.405

Authors

Олег Юрьевич Коршунов St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation https://orcid.org/0000-0001-7720-1239
Елена Аркадьевна Кащеева St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation https://orcid.org/0000-0002-3860-2686

DOI:

https://doi.org/10.21638/11701/spbu05.2017.405

Abstract

The article explores the feasibility of hedging a dealer’s unbalanced position in a foreign exchange market by arbitrage for previously concluded forward contracts. One technology is “reverse hedging”, which involves opening of missing spot positions to obtain risk free results. In the Russian market, this technology can translate losses of an unbalanced position into gains. The authors discuss factors of market inefficiency and their influence on the results of hedging unbalanced position through the tool of arbitrage in spot foreign exchange and credit markets. Hedging appears to be slightly different for quotes relative to upper or lower boundaries of the arbitrage corridor. Derived formulas allow estimating the financial result for cases of implementing the proposed risk minimization procedure. The authors suggest a new approach to formulating the criterion of expediency of such operations and provide its mathematical formalization based on historical data of exchange volatility and attitude to risk.

Keywords:

arbitrage, forward contract, derivatives, risk hedging, foreign exchange market

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Author Biographies

Олег Юрьевич Коршунов, St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation

PhD in Economics, Associate Professor

Елена Аркадьевна Кащеева, St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation

PhD in Economics, Associate Professor

References

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Translation of references in Russian into English

Akram F. Q., Rime D., Sarno L. Arbitrage in the foreign exchange market: Turning on the microscope. Journal of International Economics, 2008, vol. 76, iss. 2, pp. 237–253.

Copeland L. S. Exchange Rates and International Finance. 5th ed. Pearson Education, 2008. 527 p.

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Elliott W. B., Huff man S. P., Makar S. D. Foreign-denominated debt and foreign currency derivatives: complements or substitutes in hedging foreign currency risk? Journal of Multinational Financial Management, 2003, vol. 13 (2), pp. 123‒139.

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