ESTIMATION OF MARKET RISK IN UKRAINE USING VAR METHODOLOGY
Науковий журнал «Радіоелектроніка, інформатика, управління»
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ESTIMATION OF MARKET RISK IN UKRAINE USING VAR METHODOLOGY |
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Trofymchuk, O. M.; Institute of telecommunications and information technologies of NAS Ukraine, Ukraine Kozhukhivska, O. A.; Cherkassy state technological university, Ukraine Bidyuk, P. I.; National technical university of Ukraine «KPI», Ukraine Kozhukhivskyi, A. D.; Cherkassy state technological university, Ukraine |
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risk measure VaR, bank currency portfolio, historical modeling, Monte-Carlo simulation, delta-normal approach, Ukrainian currency market |
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The emergence of a market risk due to performing operations with currency can result in<br />substantial financial losses. That is why such situations require carrying out of profound<br />analysis and management of respective risks. The market risk of this kind is characterized with<br />possible losses of financial resources due to incorrectly performed operations with currency.<br />The paper considers the possibility of application of the VaR methodology to the bank currency<br />portfolio using the following methods: delta-normal, as well as the methods of historical<br />modeling and Monte-Carlo simulation. While performing the computing experiments actual<br />data used from the currency market of Ukraine. Quite acceptable results of forecasting possible<br />losses were received by making use of Monte-Carlo simulation that hypothetically can take<br />into account possible variations of the market exchange rates. It was established that the risk<br />forecasting errors appear only due to non-predictable abrupt changes of exchange rates. |
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Zaporizhzhya National Technical University 2014-01-24 12:09:02 |
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application/pdf http://ric.zntu.edu.ua/article/view/21295 |
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Radio Electronics, Computer Science, Control; No 2 (2013): Radio Electronics, Computer Science, Control |
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Copyright (c) 2014 O. M. Trofymchuk, O. A. Kozhukhivska, P. I. Bidyuk, A. D. Kozhukhivskyi |
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