PROVIDE A MODEL FOR MEASURING FOREIGN CURRENCY ASSETS RISK IN COMMERCIAL BANKS (CASE STUDY: MELLAT BANK)

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KHODAEI VALAHZAGHARD M.; KORDLOUEI H.R.; MAHMOUDZADEH E.

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2012 | Volume:2 | Issue:9 Page(s): 135-154

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Information Journal Paper

Title

PROVIDE A MODEL FOR MEASURING FOREIGN CURRENCY ASSETS RISK IN COMMERCIAL BANKS (CASE STUDY: MELLAT BANK)

Author(s)

KHODAEI VALAHZAGHARD M. | KORDLOUEI H.R. | MAHMOUDZADEH E. | Issue Writer Certificate

Keywords

FOREIGN CURRENCY RISKQ2

RISK MANAGEMENTQ2

VALUE AT RISKQ2

HISTORICAL SIMULATIONQ2

LINEAR REGRESSIONQ2

M-VARQ2

Abstract

Exchange Risk can be defined as losses resulted from volatility of Exchange Rate and also asset prices. This applied research studies the foreign currency assets of the Mellat Bank, using daily VALUE AT RISK (VaR) in the year 2010. Data is gathered from ledger of the Bank.Moreover, daily market risk was measured by Marginal VaR (M-VaR). According to the research hypothesis the foreign currency asset-independent variable- has an increasingly risk through 2010. Considering the results of the tests such as means comparison and t-test, the hypothesis sounds significant. Also, analytical regression model confirms the efficiency of the model.

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APA: Copy

KHODAEI VALAHZAGHARD, M., KORDLOUEI, H.R., & MAHMOUDZADEH, E.. (2012). PROVIDE A MODEL FOR MEASURING FOREIGN CURRENCY ASSETS RISK IN COMMERCIAL BANKS (CASE STUDY: MELLAT BANK). FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 2(9), 135-154. SID. https://sid.ir/paper/197884/en

Vancouver: Copy

KHODAEI VALAHZAGHARD M., KORDLOUEI H.R., MAHMOUDZADEH E.. PROVIDE A MODEL FOR MEASURING FOREIGN CURRENCY ASSETS RISK IN COMMERCIAL BANKS (CASE STUDY: MELLAT BANK). FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2012;2(9):135-154. Available from: https://sid.ir/paper/197884/en

IEEE: Copy

M. KHODAEI VALAHZAGHARD, H.R. KORDLOUEI, and E. MAHMOUDZADEH, “PROVIDE A MODEL FOR MEASURING FOREIGN CURRENCY ASSETS RISK IN COMMERCIAL BANKS (CASE STUDY: MELLAT BANK),” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 2, no. 9, pp. 135–154, 2012, [Online]. Available: https://sid.ir/paper/197884/en

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