Abstract
The emergence of a market risk due to performing operations with currency can result insubstantial financial losses. That is why such situations require carrying out of profoundanalysis and management of respective risks. The market risk of this kind is characterized withpossible losses of financial resources due to incorrectly performed operations with currency.The paper considers the possibility of application of the VaR methodology to the bank currencyportfolio using the following methods: delta-normal, as well as the methods of historicalmodeling and Monte-Carlo simulation. While performing the computing experiments actualdata used from the currency market of Ukraine. Quite acceptable results of forecasting possiblelosses were received by making use of Monte-Carlo simulation that hypothetically can takeinto account possible variations of the market exchange rates. It was established that the riskforecasting errors appear only due to non-predictable abrupt changes of exchange rates.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
