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Identifying and quantifying exposures

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Abstract

The paper first examines the various concepts of exposure and relates t hem to existing theories of risk management. It then proceeds to investigate which methods are best suited to measure exposur e under various circumstances. The paper provides a detailed comparison of the pro forma, regression and simulation methods of computing exposures.

Suggested Citation

  • Rene M. Stulz & Rohan G. Williamsom, "undated". "Identifying and quantifying exposures," Research in Financial Economics 9614, Ohio State University.
    • Handle: RePEc:wop:ohsrfe:9614
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    File URL: http://www.cob.ohio-state.edu/~fin/journal/dice/papers/1996/96-14.pdf
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    References listed on IDEAS

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    1. Richard C. Marston, 1996. "The Effects of Industry Structure on Economic Exposure," NBER Working Papers 5518, National Bureau of Economic Research, Inc.
    2. Marston, R.C., 1996. "The Effects of Industry Structure on Economic Exposure," Weiss Center Working Papers 96-3, Wharton School - Weiss Center for International Financial Research.
    3. Mello, Antonio S. & Parsons, John E. & Triantis, Alexander J., 1995. "An integrated model of multinational flexibility and financial hedging," Journal of International Economics, Elsevier, vol. 39(1-2), pages 27-51, August.
    4. Smith, Clifford W. & Stulz, René M., 1985. "The Determinants of Firms' Hedging Policies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(4), pages 391-405, December.
    5. Jorion, Philippe, 1990. "The Exchange-Rate Exposure of U.S. Multinationals," The Journal of Business, University of Chicago Press, vol. 63(3), pages 331-345, July.
    6. Froot, Kenneth A. & Scharfstein, David S. & Stein, Jeremy C., 2008. "Risk management: coordinating corporate investment and financing policies," RAE - Revista de Administração de Empresas, FGV-EAESP Escola de Administração de Empresas de São Paulo (Brazil), vol. 48(1), January.
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