The Analytical Approach for Computing Value at Risk of Exchange Risk

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F02%3A00009022" target="_blank" >RIV/61989100:27510/02:00009022 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
The Analytical Approach for Computing Value at Risk of Exchange Risk
Original language description
Value at Risk (VaR) is a new model for measuring and managing financial risks, especially for market risks (equity risk, commodity risk, exchange risk and interest rate risk). Using Value at Risk models in Risk-management has increased in the last a fewyears and many financial institutions such as banks, insurance companies, investment funds, pension funds and others are using this model for quantification, managing and eliminating their market risks. This paper describes the analytical approach of computing the Value at Risk, respectively the Delta method for linear financial instruments and the Delta- gamma method for non-linear financial instruments. Attention is focused on marginal, incremental and relative VaR, too. At the end of this paper one illustrative example is stated, which is applied at exchange risk fictional investment Czech crowns to four foreign currencies.
Czech name
—
Czech description
—

Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
—

Publication year
2002
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Similar results(10)