The Analytical Approach for Computing Value at Risk of Exchange Risk

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

The Analytical Approach for Computing Value at Risk of Exchange Risk

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

The Analytical Approach for Computing Value at Risk of Exchange Risk

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

Z - Vyzkumny zamer (s odkazem do CEZ)

Rok uplatnění

2002

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

ECON 02 (selected research papers)

ISSN

0862-7908

e-ISSN

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Svazek periodika

9

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

7

Strana od-do

46-52

Kód UT WoS článku

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EID výsledku v databázi Scopus

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