Le magazine du trésorier - n°76 - 4ème trimestre 2011 - (Page 28)
Volatility – the treasurer’s new best friend?
1. Extreme sport (n) a popular term for certain activities perceived as having a high level of inherent danger. 2. Extreme volatility (n) A statistical measurement of significant deviation in the speed and magnitude of price changes measured over a given period of time
As the eurozone crisis continues to create uncertainty, analysts are warning that the current levels of volatility in prices across asset classes is set to continue until at least March 2012(1). But as the crisis rolls on and continues to batter sentiment across borders, could extreme volatility become the treasurer’s best friend? While widely-reported risk aversion in the interbank market has characterised 2011, away from the headlines, corporate treasurers are quietly becoming more active in the derivatives markets. Why? Severe volatility has proven extremely testing for banks and investors, but corporates have also felt the effects and have had to dramatically adapt their hedging strategies and level of activity to deal with rapidly changing market conditions, particularly those with exposure to currencies and commodities. The current levels of volatility present significant challenges to treasurers trying to manage a business
(1) : Schroders - Virginie Maisonneuve
Figure 1: EUR USD rate chart – August 2011 to present
Figure 2: EUR USD implied volatility chart – year to date
Caption: Looking at the EUR/USD rate chart from the end of August until midSeptember 2011 (Figure 1), we can see the EUR decreased against the USD from 1.45 to 1.35. This is a change of 7.4% in only two weeks, which is reflected in the sharp increase in implied volatility to 16% showed in Figure 2.
Table des matières de la publication Le magazine du trésorier - n°76 - 4ème trimestre 2011