Technical analysis in estimating currency risk portfolios: case study: commercial banks in Romania

Technical analysis in estimating currency risk portfolios: case study: commercial banks in Romania

Value at Risk method became one of the most used tools in bank management in order to estimate the losses resulting from a foreign currency portfolio. The study aims to estimate the maximum loss for the euro currency due to exchange rate volatility by establishing VaR, starting from the method based...

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Bibliographic Details
Main Authors: Balteş Nicolae, Rodean (Cozma) Maria-Daciana
Format: Article
Language:English
Published: Taylor & Francis Group 2019-01-01
Series:Ekonomska Istraživanja
Subjects:
value at risk (var) method
method based on historical simulations
standard deviation
maximum loss
currency net position
financial instruments
Online Access:http://dx.doi.org/10.1080/1331677X.2018.1561318

Internet

http://dx.doi.org/10.1080/1331677X.2018.1561318

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