Content №2 от 2007
Imitation modelling approaches to the assessment of foreign exchange risks
The author shows that no universal approach to measuring and assessing an exchange risk has been observed in the practice of Russia’s risk banking management. Toward this end, as the author has proved, a stochastic simulation technique could be regarded applicable. The paper describes the algorithm to calculate possible losses if this technique is used. The author also has analyzed a correlation matrix and the volatility of the moneys usually used by Russian operators to make their payments on foreign markets. The paper considers different variants of how external factors determine a portfolio value and the risks as well. The recommendations on choosing a proper risk management strategy are presented by the author.
