Actuarial Science Seminar: Sean Smith (25/03/2009)

This weeks seminar will be presented by Sean Smith, UCT Graduate - BBusSc, Working at Riscura.

Title of Presentation:
Does the Validity of the Rand Erode Returns to the Yen-Rand Carry Trade?

Abstract:
There is much debate around the profitability of including emerging markets in carry trade strategies. The yen carry trade is a currency-speculation strategy whereby one borrows an amount of yen, at a low Japanese interest rate, and invests it in a country yielding a higher interest rate. South Africa, with elevated interest rates and a relatively attractive credit rating amongst emerging markets, ought to be a popular target. However, the volatile nature of the rand renders it unattractive to many carry trade investors. Using two currency-speculation strategies, we compare the rand to other commonly cited carry trade currencies. Analysing the payoffs of each country, we find that the rand exhibits some remarkable qualities.

Presenter:
Sean Smith, UCT Graduate - BBusSc, Working at Riscura

Time and date:
25 March 2009 12.45 for 1 - 2pm

Venue:
LC2A The Nedbank Room

All welcome. For more information or details, please contact:

Zerina Matthews
Centre for Actuarial Research
Room 333.1 PD Hahn Building, Upper Campus
Tel: 021 650 5475
Fax: 021 650 5937

Posted 19/03/2009 by Zerina Matthews