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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Yuliya Yatsuta
Currency Rate Hedging Using Derivatives on the Russian Stock Exchange
Economics
(Bachelor’s programme)
9
2016
This work analyses the effectiveness of ruble currency risk hedging with the help of three financial instruments: ruble futures contracts, oil futures contracts and credit default swaps. This work is different from previous studies due to use of last two financial instruments; currency futures as hedging strategy are widely suggested by many researchers. In this paper we try to find both effective and cheaper hedging instruments than currency futures.

To achieve the goal of the paper daily, weekly and monthly dataset from 2014 to the beginning of 2016 was used. We applied the least squares method and additionally built encompassing regression. The results of hedging by oil futures are ambiguous, while hedging by ruble futures contracts is the most effective strategy over the selected period.

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