INNOVATIVE METHODS TO MEASURE THE MARKET RISK OF THE FOREX MARKET

dc.contributor.author	TODOROV, Teodor
dc.date.accessioned	2019-01-13T18:13:56Z
dc.date.accessioned	2019-01-13T18:13:56Z
dc.date.available	2019-01-13T18:13:56Z
dc.date.available	2019-01-13T18:13:56Z
dc.date.issued	2018
dc.identifier.issn	0323-9004
dc.identifier.uri	http://hdl.handle.net/10610/4032
dc.description.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.	us_US
dc.publisher	Tsenov Publishing House	EN_en
dc.relation.ispartofseries	4;4
dc.subject	market risk	us_US
dc.subject	FOREX	us_US
dc.subject	simulation model	us_US
dc.subject	VaR models	us_US
dc.title	INNOVATIVE METHODS TO MEASURE THE MARKET RISK OF THE FOREX MARKET	us_US
dc.type	Article	us_US