ESTIMATION OF MARKET RISK IN UKRAINE USING VAR METHODOLOGY

Authors

  • O. M. Trofymchuk Institute of telecommunications and information technologies of NAS Ukraine, Ukraine
  • O. A. Kozhukhivska Cherkassy state technological university, Ukraine
  • P. I. Bidyuk National technical university of Ukraine «KPI», Ukraine
  • A. D. Kozhukhivskyi Cherkassy state technological university, Ukraine

DOI:

https://doi.org/10.15588/1607-3274-2013-2-14

Keywords:

risk measure VaR, bank currency portfolio, historical modeling, Monte-Carlo simulation, delta-normal approach, Ukrainian currency market

Abstract

The emergence of a market risk due to performing operations with currency can result in
substantial financial losses. That is why such situations require carrying out of profound
analysis and management of respective risks. The market risk of this kind is characterized with
possible losses of financial resources due to incorrectly performed operations with currency.
The paper considers the possibility of application of the VaR methodology to the bank currency
portfolio using the following methods: delta-normal, as well as the methods of historical
modeling and Monte-Carlo simulation. While performing the computing experiments actual
data used from the currency market of Ukraine. Quite acceptable results of forecasting possible
losses were received by making use of Monte-Carlo simulation that hypothetically can take
into account possible variations of the market exchange rates. It was established that the risk
forecasting errors appear only due to non-predictable abrupt changes of exchange rates.

References

Lobanov А. А., Chugunov A. V. E’nciklopediya finansovogo risk-menedzhmenta. Moscow, Аlpina Pablisher, 2003, 786 p.

Jorion Ph. Financial risk-management: Second edition. Hoboken, New Jersey, John Wiley & Sons, 2003, 708 p.

Primostka L. О., Chub P. М., Karcheva T.G. tа іn.; zа rеd. Primostky L.O Upravlinnya bankivskymy rysykamy : nаvch. Posibnyk. Кyiv, КNЕU, 2007, 600 p.

Metodychni vkazivky z inspektuvannya bаnкіv «Systema оzіnкy rysykiv». Zатv. pоsтаnоvоiu prаvlіnnia Nazionalnogo banku Uкrаiny vіd 15.03.2004 № 104, 2004, 43 p.

Bаzеlsкij коmitеt pо bаnкоvsкоmu nаdzоru. Меzhdunаrоdnаya коnvеrgеnsiya izmеrеniya каpitаlа i stаndаrtоv каpitаlа: nоvy’е pоdhody’, Bаzеl, 2004. http://www.cbr.ru

Yablokov А. І. Меtоdyка оzіnyuvаnnya tа upravlinnya vаliutnim ryzykоm VаR, Е’коnоmіко-mаtеmаtychnе mоdеliuvаnnia sоtsіаlnо-екоnоmіchnyh systеm, 2007, No. 13, pp. 121–128.

Мilosеrdоv А. А., Gеrаsimоvа E. B. Ry’nоchny’е risкi: fоrmаlizаciya, mоdеlirоvаniе, оcеnка каchеstvа mоdеlеj. Таmbоv: Izd-vо Таmbоvsкоgо gоs. tеhn. un-tа, 2004, 116 p.

Published

2013-10-18

How to Cite

Trofymchuk, O. M., Kozhukhivska, O. A., Bidyuk, P. I., & Kozhukhivskyi, A. D. (2013). ESTIMATION OF MARKET RISK IN UKRAINE USING VAR METHODOLOGY. Radio Electronics, Computer Science, Control, (2). https://doi.org/10.15588/1607-3274-2013-2-14

Issue

Section

Mathematical and computer modelling

Most read articles by the same author(s)