International Journal of Statistics and Applied Mathematics
  • Printed Journal
  • Indexed Journal
  • Refereed Journal
  • Peer Reviewed Journal

2018, Vol. 3, Issue 1, Part B

Application of value at risk on Moroccan exchange rates


Author(s): Karima Lamsaddak and Driss Mentagui

Abstract: Currency risk is, nowadays, identified as an essential component of the international firm's environment, but this awareness is relatively recent. However, modeling and forecasts of exchange rate developments remain a weak point in macroeconomic analysis. Despite their theoretical coherence, models fail to do better than random process. Market expectations have no predictive power. On the other hand, several methods deserve to be tested to measure the said risk.
Indeed, this article presents an application of the Value at Risk method on Moroccan currency risk. The methods used to calculate the VaR are:
- The parametric method or variance-covariance approach;
- The parametric method adjusted by the Cornish-Fisher method;
- The historical VaR;
- The Monte Carlo VaR;
- The BoostrapVaR.


Pages: 118-125 | Views: 1146 | Downloads: 30

Download Full Article: Click Here
How to cite this article:
Karima Lamsaddak, Driss Mentagui. Application of value at risk on Moroccan exchange rates. Int J Stat Appl Math 2018;3(1):118-125.
Related Journal Subscription
International Journal of Statistics and Applied Mathematics

International Journal of Statistics and Applied Mathematics


Call for book chapter
International Journal of Statistics and Applied Mathematics