Purpose – The purpose of this paper is to investigate how non-finance departmental involvement in the management of exchange rate risks impacts the extent of foreign exchange speculation in non-financial firms. Design/methodology/approach – We survey non-financial firms in a small open economy (Denmark) to investigate the extent of foreign exchange speculation and how it is related to the degree of non-finance departmental involvement in the management of exchange rate risks. We employ binary and ordered probit regression analysis. Findings – We find a positive link between 1) the extent to which other departments than the finance department is involved in the management of exchange rate risks and 2) the extent to which the firm is likely to speculate – whether in the form of selective hedging or active speculation – on the foreign exchange market. Practical implications – Our findings indicate that the trend towards a more integrated risk management approach in which the finance department is not the only department responsible for risk management may have the (unforeseen) consequence that foreign exchange speculation increases. Originality/value – The findings are important because the link between the extent of foreign exchange speculation and a more integrated risk management approach has not been addressed previously.