Comparative Analysis of VaR Models Aplicability in the Evaluation of Exchange Rate Risk in the B&H Banking Sector

Article Sidebar

PDF
Published Sep 29, 2017

Main Article Content

Emina Kozarević
University of Tuzla, Faculty of Economics, B&H

Abstract

In this paper the author tests a variety of market VaR models for evaluation of exposure to exchange rate risk, in order to illuminate the advantages and disadvantages of their implementation in the B&H banking sector. As known, B&H monetary policy operates on the basis of currency board arrangement.


The selection of a particular VaR model is determined with the fact that income generated from taking the risk should always exceed the cost of keeping capital reserves needed to cover taken risks. In the concrete bank three VaR models are applied and comparation of the results is done.


 

Article Details

Issue
Vol 43 No 3-4 (2010): Economic Analysis
Section
Articles
Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Once the manuscript is accepted for publication, authors shall transfer the copyright to the publisher. If the submitted manuscript is not accepted for printing by the journal, the authors shall retain all their rights. The following rights on the manuscript are transferred to the publisher, including any supplementary materials and any parts, extracts or elements of the manuscript:

  • the right to reproduce and distribute the manuscript in printed form, including print-on-demand;
  • the right to print prepublications, reprints and special editions of the manuscript;
  • the right to translate the manuscript into other languages;
  • the right to reproduce the manuscript using photomechanical or similar means including, but not limited to photocopy, and the right to distribute these copies;
  • the right to reproduce and distribute the manuscript electronically or optically using and all data carriers or storage media, and especially in machine readable/digitalized form on data carriers such as hard drive, CD-ROM, DVD, Blu-ray Disc (BD), Mini Disc, data tapes, and the right to reproduce and distribute the article via these data carriers;
  • the right to store the manuscript in databases, including online databases, as well as the right to transmit the manuscript in all technical systems and modes;
  • the right to make the manuscript available to the public or to closed user groups on individual demand, for use on monitors or other readers (including e-books), and in printable form for the user, either via the Internet, online service, or via internal or external networks.

References

Kozarević E., (2009), Analiza i upravljanje finansijskim rizicima (Analysis and management of financial risks), CPA plc., Tuzla
Kozarević E., (2008), Konceptualizacija i operacionalizacija evaluacije rizika finansijskih institucija (The conceptualization and operationalization of risk evaluation of financial institutions), doctoral dissertation, Faculty of Economics, University of Tuzla, Tuzla
Šverko I., (2001), Moguća primjena povijesne metode rizične vrijednosti pri upravljanju rizicima financijskih institucija u Republici Hrvatskoj (Possible application of historical value-at-risk method in risk management of financial institutions in the Republic of Croatia), Financial theory and practice, 4/2001, Institute of Public Finance, Zagreb
(www.ijf.hr/financijska_praksa/PDF%202001/sverko.pdf, the May of 2004)
www.cbbh.gov.ba
Žiković S., (2005), Formiranje optimalnog portfolija hrvatskih dionica i mjerenje tržišnog rizika primjenom VaR metode (Forming the optimal portfolio of Croatian stocks and measurement of market risk using VaR method), master thesis, Faculty of Economics, University of Ljubljana, Ljubljana
(http://www.cek.ef.uni-lj.si/magister/zikovic513.pdf, the September of 2005)