Lorenzo Reus has a PhD in Operations Research and Financial Engineering from Princeton University and is currently an assistant professor in the engineering department at Universidad Adolfo Ibañez, Chile. He is also the director of the Financial Engineering program at the same institution, teaching Programming in FE and Financial risk management. His research covers a wide variety of topics like portfolio management, financial risk management, and optimization models for the mining and energy industry. In his short career, Dr. Reus has demonstrated the ability to develop autonomous and collaborative research with more than 10 colleagues around the world.
This paper estimates the currency exposure before and after the hedging of active foreign currency (FC) accounts, using stochastic models for spot exchange rates and cashflow movements.