BUSINESS INFORM №11-2016

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43

Section: Finance, Money Circulation and Credit
UDC 336.71
Bondarenko A. I.
Studying the Currency Risk: the Conceptions of VaR and CFaR (p. 253 - 261)
The article is aimed at studying the theoretical-methodological and practical aspects of the currency risk in the banking sphere. Studying the currency risk in the context of political and economic crisis and the high volatility of financial tools is extremely important from the practical point of view. The study results provide relevant information material, an analytical assessment of the currency risk in the selected banks on the basis of which can be correctly identified, analyzed and prognosed the size of financial losses arising from the volatility of currency exchange rates. However, there is a necessity along with a problem of such innovations in the risk management, which would help more selectively and closely explore the risks. This is precisely why it is proposed to extend the standard risk assessment instrumentarium (VaR) with calculations of the currency risk based on cash flows (SFaR). A model of currency risk calculation has been developed according to the SFaR. Prospect for further research in this direction to identifying opportunities for effective accounting of currency risks in the pricing of banking products and creating a conception of accounting currency risks in the process of pricing.
Keywords: currency risk, CFaR, VaR, calculation methods, risk-based pricing
Fig.: 3. Tabl.: 8. Formulae: 3. Bibl.: 11.

Bondarenko Andrii I. – Postgraduate Student, Kyiv National Economic University named after Vadym Hetman (54/1 Beresteiskyi Ave., Kyiv, 03057, Ukraine)
Email: [email protected]

Article is written in Ukrainian
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Reference to this article:
Bondarenko, Andrii I. (2016) “Studying the Currency Risk: the Conceptions of VaR and CFaR.” Business Inform 11:253–261.

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