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

Main Article Content

Emina Kozarević

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

Section
Articles

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)