APPLICATION OF VAR METHODOLOGY IN CASE OF FOREIGN EXCHANGE RISK MANAGEMENT
Abstract
The aim of this paper is to elucidate the importance of monitoring and managing foreign exchange risk by elaborating an example of the application of basic VaR methods. In a detailed overview of the basic procedures that banks use to assess the level of exposure to the risk, readers will be able to learn about basics of practical application of VaR metods. In addition to explaining the application of VaR methodology, the paper analyzes the current exposure of the domestic banking sector to foreign exchange risk. By analyzing these exposures, we concluded that the banking sector efficiently manages foreign exchange risk and that the level of exposure is significantly below the maximum allowed level.
Published
2018/03/28
Section
Professional Paper
Authors who publish with this journal agree to the following terms:
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).