O. M. Trofymchuk, O. A. Kozhukhivska, P. I. Bidyuk, A. D. Kozhukhivskyi


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.


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


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