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A Comparative Study on Value-at Risk Measuring Methods Using IRR-USD Exchange Rate Data
Company: Journal of Advanced Social Research
Company Url: Click here to open
Year Of Publication: 2012
Month Of Publication: April
Pages: 93-100
Download Count: 10
View Count: 1321
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 4-15-2012
Publisher: Administrator
This article intends to compare parametric and historical simulation methods in measuring the daily Value-at-Risk (VaR) for Rial-Dollar exchange rate fluctuations risk. The parametric method using the normal distribution and historical simulation with exponentially weighted data and without weighting are used to calculate VaR. Finally, the obtained results are brought and compared with each other, and we draw conclusions using them. The obtained results show that the exponentially weighted historical VaR is more appropriate than other methods used in this case.
(volume 2, number 2)
Shaker, Saeed Sign in to follow this author
Mohammadi, Parastoo Sign in to follow this author
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