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Comparative Analysis of VaR Models Aplicability in the Evaluation of Exchange Rate Risk in the B&H Banking Sector
Economic Analysis
View Archive Info| Field | Value | |
| Title |
Comparative Analysis of VaR Models Aplicability in the Evaluation of Exchange Rate Risk in the B&H Banking Sector
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| Creator |
Kozarević, Emina
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| Description |
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. |
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| Publisher |
Institute of Economic Sciences, Belgrade, Serbia
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| Date |
2017-09-29
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion |
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| Format |
application/pdf
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| Identifier |
https://www.library.ien.bg.ac.rs/index.php/ea/article/view/180
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| Source |
Economic Analysis; Vol 43 No 3-4 (2010): Economic Analysis; 29-41
2560-3949 1821-2573 |
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| Language |
eng
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| Relation |
https://www.library.ien.bg.ac.rs/index.php/ea/article/view/180/176
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| Rights |
Copyright (c) 2017 Economic Analysis
http://creativecommons.org/licenses/by-nc-nd/4.0 |
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