Global corporations and companies with international portfolios increasingly concentrate their activities not only on the international expansion of their products or services and global diversifi cation of their capital portfolios, but also on an effective integration in the global value chain...

In this paper historical performance of eleven approaches for estimation of one-day 95% value-at-risk is evaluated. Random sample of 1000 foreign exchange portfolios consisting of positions in EUR and USD with CZK as a base currency was considered. Since foreign exchange portfolio consists of...