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: 1014 | Downloads: 29Download Full Article: Click HereHow 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.
