THE ESTIMATE AND EVALUATION OF VALUE AT RISK IN FOREX MARKET

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ABBASI EBRAHIM

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2014 | Volume:4 | Issue:17 Page(s): 23-44

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Information Journal Paper

Title

THE ESTIMATE AND EVALUATION OF VALUE AT RISK IN FOREX MARKET

Author(s)

ABBASI EBRAHIM | Issue Writer Certificate

Keywords

FOREX MARKETQ2

VALUE AT RISKQ1

EURO/DOLLAR RATIOQ2

PARAMETRICQ2

HISTORICAL AND MONTE CARLOQ2

Abstract

The purpose of this study is estimating and evaluating the VALUE AT RISK in FOREX MARKET. For this purpose based on logritme of EURO/DOLLAR RATIO the VALUE AT RISK were estimated to three methods: PARAMETRIC, Historical and Montecarlo, Simulization from 12/10/2004 to 12/3/2009 in time periods 3, 6, 9, 12, 36 months and in confidence level 90, 95, 99 percent. The results of multi-variable tests demonstrated that there is no significant difference in VALUE AT RISK average based on three methods and the confidence level and multi-time periods on two currency Euro and dollar. The results of back tests demonstrated that validity of calculations for the minimum VALUE AT RISK is not confirmed but for the maximum VALUE AT RISK is confirmed.

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APA: Copy

ABBASI, EBRAHIM. (2014). THE ESTIMATE AND EVALUATION OF VALUE AT RISK IN FOREX MARKET. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 4(17), 23-44. SID. https://sid.ir/paper/197770/en

Vancouver: Copy

ABBASI EBRAHIM. THE ESTIMATE AND EVALUATION OF VALUE AT RISK IN FOREX MARKET. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2014;4(17):23-44. Available from: https://sid.ir/paper/197770/en

IEEE: Copy

EBRAHIM ABBASI, “THE ESTIMATE AND EVALUATION OF VALUE AT RISK IN FOREX MARKET,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 4, no. 17, pp. 23–44, 2014, [Online]. Available: https://sid.ir/paper/197770/en

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