Theoretical and Applied Economics
No. 2 / 2007 (507)
VaR Methodology Application for Banking Currency Portfolios
Florentina-Olivia Balu
Academia de Studii Economice Bucuresti
Abstract. VaR has become the standard measure that financial analysts use to quantify market risk. VaR measures can have many applications, such as in risk management, to evaluate the performance of risk takers and for regulatory requirements, and hence it is very important to develop methodologies that provide accurate estimates. In particular, the Basel Committee on Banking Supervision at the Bank for International Settlements imposes to financial institutions such as banks and investment firms to meet capital requirements based on VaR estimates. In this paper we determine VaR for a banking currency portfolio and respect rules of National Bank of Romania regarding VaR report.
Keywords: Value at Risk (VaR); currency; bank; banking portfolio; foreign exchange risk.
Contents
- Elasticity of Substitution for Production Functions in Romania and other Countries
Gheorghe Zaman
Zizi Goschin
- The Development of a Multisource and a Systematized Database for Economic and Policy Impact Analysis
Ec. Filippo Oropallo
Ec. Lorenzo Lo Cascio
- Leadership, Motivation and Excellence (A Comparative view)
Gh. Gh. Ionescu
Adina Letitia Negrusa
- Labor Relations and Social Dialogue: Measurement and Diagnosis Instruments
Viorel Lefter
Miruna Mazurencu Marinescu
Anca Bogdan
- Statistical Methods for Base Inflation Calculation
Ion Partachi
Elena Cara
- Professional Competence in Psychosociology Research
Maria Constantinescu
Cornel Constantinescu
- VaR Methodology Application for Banking Currency Portfolios
Daniel Armeanu
Florentina-Olivia Balu
- Currency Evolutions during 2006 and Expectations for 2007
Radu Titus Marinescu