00000nam 2200000za 4500 9.821276 CaOODSP 20240219183442 cr ||||||||||| 160719s2013 onc|||||o f000 0 eng d CaOODSP eng eng fre n-cn--- D68-6/086-2013E-PDF Maybury, David W. Modelling the US dollar trading range [electronic resource] : bounds from the risk neutral measure / by David W. Maybury. [Ottawa] : Defence Research and Development Canada, c2013. x, 34 p. : tables, graphs. Technical Memorandum ; 2013-086 "June 2013." Includes bibliographical references. ADM(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. gccst Technical reports Foreign exchange risk Hedging Derivatives Defence R&D Canada. Technical memorandum (Defence R&D Canada) 2013-086 (CaOODSP)9.820564 PDF 567 KB https://publications.gc.ca/collections/collection_2016/rddc-drdc/D68-6-086-2013-eng.pdf