|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
u |
Currency
correlation, example
|
|
|
|
– |
German mark and
Swiss franc increase in
|
|
|
value
|
|
|
|
F |
MNC X has net
inflow exposure from Germany
|
|
|
F |
MNC Y has net
outflow exposure in Germany
|
|
|
with similar
sized inflow exposure from
|
|
|
Switzerland
|
|
|
|
– |
DM and SF have a
correlation of 94 percent
|
|
|
|
– |
Net transaction
exposures
|
|
|
|
F |
MNC X maintains
currency risk exposure
|
|
|
|
F |
MNC Y has
offsetting DM and SF exposure
|
|