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Measuring Exchange Rate Fluctuations Risk Using the Value-at-Risk

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  • Saeed Shaker Akhtekhane
  • Parastoo Mohammadi

Abstract

The paper intends to measure the daily Value-at-Risk (VaR) for Rial-Euro exchange rate fluctuations risk. Since in this case we deal with a single risk factor, so we will not use the Monte Carlo simulation method to measure the VaR and we will only use the parametric and historical simulation methods for this purpose. The parametric method using the normal distribution and historical simulation with exponentially weighted data and without weighting is used to calculate VaR. Finally, the obtained results are brought and compared with each other, and we draw conclusions using the obtained results.

Suggested Citation

  • Saeed Shaker Akhtekhane & Parastoo Mohammadi, 2012. "Measuring Exchange Rate Fluctuations Risk Using the Value-at-Risk," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 2(3), pages 1-4.
    • Handle: RePEc:spt:apfiba:v:2:y:2012:i:3:f:2_3_4
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    Cited by:

    1. Saeed Shaker-Akhtekhane & Solmaz Poorabbas, 2023. "Value-at-Risk Estimation Using an Interpolated Distribution of Financial Returns Series," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(1), pages 1-6.
    2. Niango Ange Joseph Yapi, 2020. "Exchange rate predictive densities and currency risks: A quantile regression approach," EconomiX Working Papers 2020-16, University of Paris Nanterre, EconomiX.

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