VaR Methodology Application for Banking Currency Portfolios
Опубликовано на портале: 22-12-2007
Theoretical and Applied Economics.
2007.
Vol. 2.
No. 2.
P. 83-92.
Тематический раздел:
VaR has become the standard measure that financial analysts use to quantify market
risk. VaR measures can have many applications, such as in risk management, to evaluate
the performance of risk takers and for regulatory requirements, and hence it is very
important to develop methodologies that provide accurate estimates. In particular,
the Basel Committee on Banking Supervision at the Bank for International Settlements
imposes to financial institutions such as banks and investment firms to meet capital
requirements based on VaR estimates. In this paper we determine VaR for a banking
currency portfolio and respect rules of National Bank of Romania regarding VaR report.
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