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| 001 | 9.821276 |
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| 003 | CaOODSP |
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| 005 | 20240219183442 |
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| 007 | cr ||||||||||| |
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| 008 | 160719s2013 onc|||||o f000 0 eng d |
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| 040 | |aCaOODSP|beng |
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| 041 | |aeng|bfre |
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| 043 | |an-cn--- |
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| 086 | 1 |aD68-6/086-2013E-PDF |
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| 100 | 1 |aMaybury, David W. |
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| 245 | 10|aModelling the US dollar trading range |h[electronic resource] : |bbounds from the risk neutral measure / |cby David W. Maybury. |
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| 260 | |a[Ottawa] : |bDefence Research and Development Canada, |cc2013. |
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| 300 | |ax, 34 p. : |btables, graphs. |
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| 490 | 1 |aTechnical Memorandum ; |v2013-086 |
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| 500 | |a"June 2013." |
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| 504 | |aIncludes bibliographical references. |
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| 520 | |aADM(Fin CS) and senior decision makers at the Department of National Defence (DND) require insight into financial risks stemming from foreign exchange obligations in procurements and program delivery. We implement three popular derivative based quantitative financial models which provide the conditional Canada-US exchange rate trading range, under the risk neutral distribution, within a 95% confidence region up to a one year horizon. ADM(Fin CS) can use the model inferred trading range to help decide on a hedging rule in connection with foreign exchange budget obligations. Our results give a useful thumbnail sketch of the underlying probability distribution and confidence regions but, to gain a better understanding of foreign exchange market conditions, we require access to over-the-counter derivative data. Finally, ADM(Fin CS) staff can use the derived trading range in DND’s foreign exchange reporting documents and internal monitoring services. |
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| 692 | 07|2gccst|aTechnical reports |
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| 693 | 07|aForeign exchange risk |
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| 693 | 07|aHedging |
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| 693 | 07|aDerivatives |
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| 710 | 2 |aDefence R&D Canada. |
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| 830 | #0|aTechnical memorandum (Defence R&D Canada)|v2013-086|w(CaOODSP)9.820564 |
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| 856 | 40|qPDF|s567 KB|uhttps://publications.gc.ca/collections/collection_2016/rddc-drdc/D68-6-086-2013-eng.pdf |
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