hrcak mascot   Srce   HID

Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2018.1561318

Technical analysis in estimating currency risk portfolios: case study: commercial banks in Romania

Nicolae Baltes ; Faculty of Economics, Financial Department,“Lucian Blaga”University, Sibiu, Romania
Maria-Daciana Cozma ; Faculty of Economics, Financial Department,“Lucian Blaga”University, Sibiu, Romania

Puni tekst: engleski, pdf (1 MB) str. 622-634 preuzimanja: 50* citiraj
APA 6th Edition
Baltes, N. i Cozma, M. (2019). Technical analysis in estimating currency risk portfolios: case study: commercial banks in Romania. Economic research - Ekonomska istraživanja, 32 (1), 622-634. https://doi.org/10.1080/1331677X.2018.1561318
MLA 8th Edition
Baltes, Nicolae i Maria-Daciana Cozma. "Technical analysis in estimating currency risk portfolios: case study: commercial banks in Romania." Economic research - Ekonomska istraživanja, vol. 32, br. 1, 2019, str. 622-634. https://doi.org/10.1080/1331677X.2018.1561318. Citirano 29.03.2020.
Chicago 17th Edition
Baltes, Nicolae i Maria-Daciana Cozma. "Technical analysis in estimating currency risk portfolios: case study: commercial banks in Romania." Economic research - Ekonomska istraživanja 32, br. 1 (2019): 622-634. https://doi.org/10.1080/1331677X.2018.1561318
Harvard
Baltes, N., i Cozma, M. (2019). 'Technical analysis in estimating currency risk portfolios: case study: commercial banks in Romania', Economic research - Ekonomska istraživanja, 32(1), str. 622-634. https://doi.org/10.1080/1331677X.2018.1561318
Vancouver
Baltes N, Cozma M. Technical analysis in estimating currency risk portfolios: case study: commercial banks in Romania. Economic research - Ekonomska istraživanja [Internet]. 2019 [pristupljeno 29.03.2020.];32(1):622-634. https://doi.org/10.1080/1331677X.2018.1561318
IEEE
N. Baltes i M. Cozma, "Technical analysis in estimating currency risk portfolios: case study: commercial banks in Romania", Economic research - Ekonomska istraživanja, vol.32, br. 1, str. 622-634, 2019. [Online]. https://doi.org/10.1080/1331677X.2018.1561318

Sažetak
Value at Risk method became one of the most used tools in bank management in order to estimate the losses resulting from a foreign currency portfolio. The study aims to estimate the maximum loss for the euro currency due to exchange rate volatility by establishing VaR, starting from the method based on historical simulations. The sample of the research consists of the four commercial banks listed on the Bucharest Stock Exchange (BSE), respectively: Romanian Commercial Bank SA (member of Erste– BCR Group); Romanian Development Bank–Groupe Societe Generale (BRD); Transylvania Bank SA (BT) and Carpatica Bank (BCC), based on a number of 757 observations corresponding to the working days in the period 1 January 2012–31 December 2014. The results obtained from the research showed that in case of the analyzed banks the maximum anticipated loss in a future time horizon of 10 days, with a relevance of 1%, does not exceed 2% of the net positions on the euro currency. The study could not be extended to other currencies, because in the information available for the four commercial banks only the net position on the euro currency is separately expressed.

Ključne riječi
Value at Risk (VaR) method; method based on historical simulations; standard deviation; maximum loss; currency net position; financial instruments

Hrčak ID: 228606

URI
https://hrcak.srce.hr/228606

Posjeta: 80 *