SPECIFIC FEATURES CONCERNING THE MARKET RISK MANAGEMENT

Gabriela Anghelache
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Gabriela Anghelache: Member of GAER Coordination Council

Theoretical and Applied Economics, 2007, vol. 6(511)(supplement), issue 6(511)(supplement), 163-182

Abstract: The market risk management is very important in the context of the volatility of the exchange rates, interest rates or financial assets prices. In order to be aware of these developments there are a number of internal statistical models, of Value-at-Risk kind, which are used. These models are measuring the maximum loss recorded by a certain portfolio and that is why models such as the correlation method, the historical stimulation method, the Monte Carlo method are used in this respect. In the present text I have approached significant aspects as regards the management of the interest risk, by underlying to following aspects: structural risk, structural exposure of the bank, balance sheet structure, structure of the banking profit and of the interest rates depending on maturities, transaction risk, uncertainty of the interest margin etc. The methods and techniques being utilized as for the interest risk management are also extensively presented within this material, as they are evidencing essential elements occurring in practice. The last part of the text is pointing out the significant aspects regarding the utilization of the swap contracts in the management of the interest rate risk. The approach of this last topic is accompanied by empirical examples meant to let the understanding of the issues in discussion become more accessible.

Keywords: market risk; value-at/risk; interest risk; swap contract; portfolio. REL Classification: 7J, 11B, 11F Romania’s Integration in the European Union. Opportunities & Challenges 164 164 (search for similar items in EconPapers)
Date: 2007
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