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In this article we discuss one of the modern risk measuring techniques Value-at-Risk (VaR). Currently central banks in major money centers, under the auspices of the BIS Basle Committee, adopt the VaR system to evaluate the market risk of their supervised banks. Banks regulators ask all...
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The article is putting before the reader the main aspects concerning the economic and financial international evolution. The progressive relation between the two major currencies, i.e. the U.S. dollar and the Euro, is to be considered as a starting point. The analysis is carried out within the...
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capital requirements based on VaR estimates. In this paper we determine VaR for a banking currency portfolio and respect rules …
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In this article, we intend to indentify the impact of the currency rate of exchange variation of the two main … currencies which represent Romania’s foreign currency reserve and the stress test it submits the latter. Up to the present moment … there not established a cause-effect relationship or correlation between the foreign currency exchage rate was variation and …
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