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Innovative Methods To Measure The Market Risk Of The Forex Market

Author

Listed:
  • Teodor TODOROV

    (D. A. Tsenov Academy of Economics)

Abstract

The impact of market risk on the performance of economic agents is significant. The focus of this study is on the various models and techniques to quantify the market risk of the FOREX market. The results from the empirical testing of Monte Carlo simulation models, VaR, CVaR, MVaR, VaR historical simulation, and Delta Normal VaR indicate the presence of market risk in the Foreign exchange market. Of these models, the simulation model is the best measure of market risk. Historical simulation and Delta Normal VaR, on the other hand, help diversify risk by building investment portfolios.

Suggested Citation

  • Teodor TODOROV, 2018. "Innovative Methods To Measure The Market Risk Of The Forex Market," Economic Archive, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 4 Year 20, pages 40-59.
    • Handle: RePEc:dat:earchi:y:2018:i:4:p:40-59
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    File URL: http://hdl.handle.net/10610/4032
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    More about this item

    Keywords

    market risk; FOREX; simulation model; VaR models;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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