Currency Risk Assessment Using Value-at-Risk (VаR) Methodology

Authors:

Pages: 64-68

Abstract:

The measurement of currency risk through the VaR metrics is highlighted in this research work. The main VaR methods – relative, Historical Stimulation and Monte Karlo Stimulation are briefly presented. A study is conducted with real data on a specific currency pair – GBP/USD. The observations reflect a period of one year, a time horizon of one and ten days, and a 99% confidence interval. The results obtained are analyzed. The relevant conclusions are drawn.

Keywords:

currency risk; market risk; value-at-risk.

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