INNOVATIVE METHODS TO MEASURE THE MARKET RISK OF THE FOREX MARKET

Teodor Todorov
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Teodor Todorov: D. A. Tsenov Academy of Economics

Economic Archive, 2018, issue 4 Year 2018, 40-59

Abstract: The impact of market risk on the performance of economic agents is significant. The focus of this study is on the various models and techniques to quantify the market risk of the FOREX market. The results from the empirical testing of Monte Carlo simulation models, VaR, CVaR, MVaR, VaR historical simulation, and Delta Normal VaR indicate the presence of market risk in the Foreign exchange market. Of these models, the simulation model is the best measure of market risk. Historical simulation and Delta Normal VaR, on the other hand, help diversify risk by building investment portfolios.

Keywords: market risk; FOREX; simulation model; VaR models (search for similar items in EconPapers)
JEL-codes: C11 G11 G15 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:dat:earchi:y:2018:i:4:p:40-59

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