ESTIMATION OF MARKET RISK IN UKRAINE USING VAR METHODOLOGY
Keywords:risk measure VaR, bank currency portfolio, historical modeling, Monte-Carlo simulation, delta-normal approach, Ukrainian currency market
AbstractThe 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.
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.
How to Cite
Copyright (c) 2014 O. M. Trofymchuk, O. A. Kozhukhivska, P. I. Bidyuk, A. D. Kozhukhivskyi
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Creative Commons Licensing Notifications in the Copyright Notices
The journal allows the authors to hold the copyright without restrictions and to retain publishing rights without restrictions.
The journal allows readers to read, download, copy, distribute, print, search, or link to the full texts of its articles.
The journal allows to reuse and remixing of its content, in accordance with a Creative Commons license СС BY -SA.
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 CC BY-SA 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.