currency portfolio analysis

Estimation of market risk in Ukraine using var methodology

The emergence of a market risk due to performing operations with currency can result in substantial financial losses. That is why such situations require carrying out of profound analysis and management of respective risks. The market risk of this kind is characterized with possible 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 currency portfolio: delta-normal, as well as the methods of historical modeling and Monte Carlo simulation.