Využití derivátů pro řízení kurzového rizika

This master's thesis examines foreign exchange risk management of an export-oriented company through a structured currency derivative of the Target Redemption Forward / Target Profit Forward (TARF/TPF) type. The objective is to assess the suitability and limitations of this instrument and to develop a proprietary pricing model enabling independent indicative validation of bank quotations. The theoretical part defines the types of foreign exchange risk, methods of risk measurement (VaR, CVaR), and the relevant regulatory framework (Basel III, EMIR). The practical part analyses the currency exposure of a fictional Czech company, ExportCorp, and prices a two-strike Target Profit Forward on the EUR/CZK currency pair. The model is implemented in Python using Monte Carlo simulation within the risk-neutral Garman-Kohlhagen framework; its results are compared with the Bloomberg OVML module, with a difference in premium value of approximately 5.5% and closely matching key risk sensitivities. The thesis concludes that TPF can be used as a supplementary hedging instrument only under conservative parameter settings and with continuous monitoring of risk sensitivities. When the leverage ratio λ > 1, the product effectively represents a short option position, and its classification as a hedging instrument is therefore questionable. The proprietary Python pricer is suitable for preliminary validation of bank quotations and scenario analysis.