THE REASERCH OF DERIVATIVE FINANCIAL INSTRUMENTS HEDGING CURRENCY RISKS

Abstract

An effective solution for currency risk management is the use of Value at Risk technology (hereinafter – VaR) to quantify the risk. The VaR method characterizes the maximum amount of losses, the excess of which will occur with a probability less than a given. The system of currency risk assessment based on the VaR methodology is generally recognized. A VaR technique based on the parametric Delta-normal method. The methodology adopts the hypothesis of proximity to the normal distribution of random variables characterizing the intensity of growth of exchange rates and prices of precious metals (logarithms of growth rates of currencies and prices of precious metals), and applies the tools of mathematical statistics to assess possible losses by calculating the appropriate parameters.