Theoretical and Applied Economics
No. 2 / 2007 (507)
VaR Methodology Application for Banking Currency Portfolios
Florentina-Olivia Balu
Academia de Studii Economice Bucuresti
Abstract. VaR has become the standard measure that financial analysts use to quantify market risk. VaR measures can have many applications, such as in risk management, to evaluate the performance of risk takers and for regulatory requirements, and hence it is very important to develop methodologies that provide accurate estimates. In particular, the Basel Committee on Banking Supervision at the Bank for International Settlements imposes to financial institutions such as banks and investment firms to meet capital requirements based on VaR estimates. In this paper we determine VaR for a banking currency portfolio and respect rules of National Bank of Romania regarding VaR report.
Contents
Elasticity of Substitution for Production Functions in Romania and other Countries
The Development of a Multisource and a Systematized Database for Economic and Policy Impact Analysis
Leadership, Motivation and Excellence (A Comparative view)
Labor Relations and Social Dialogue: Measurement and Diagnosis Instruments
Management Science Education, between McDonaldisation of Society and High Quality Economics
Performant Brand Management Contribution to the Company Success on International Market
Statistical Methods for Base Inflation Calculation
Professional Competence in Psychosociology Research
VaR Methodology Application for Banking Currency Portfolios
Development Economics and Economic Development: Why do Institution Matter?
Evaluation of Results from Sales Promotion Activities
Currency Evolutions during 2006 and Expectations for 2007