Measuring Exchange Rate Fluctuations Risk Using the Value-at-Risk

Saeed Shaker Akhtekhane and Parastoo Mohammadi

Journal of Applied Finance & Banking, 2012, vol. 2, issue 3, 4

Abstract: The paper intends to measure the daily Value-at-Risk (VaR) for Rial-Euro exchange rate fluctuations risk. Since in this case we deal with a single risk factor, so we will not use the Monte Carlo simulation method to measure the VaR and we will only use the parametric and historical simulation methods for this purpose. The parametric method using the normal distribution and historical simulation with exponentially weighted data and without weighting is used to calculate VaR. Finally, the obtained results are brought and compared with each other, and we draw conclusions using the obtained results.

Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.scienpress.com/Upload/JAFB%2fVol%202_3_4.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spt:apfiba:v:2:y:2012:i:3:f:2_3_4

Access Statistics for this article

More articles in Journal of Applied Finance & Banking from SCIENPRESS Ltd
Bibliographic data for series maintained by Eleftherios Spyromitros-Xioufis ().