Journal of Applied Finance & Banking

Measuring Exchange Rate Fluctuations Risk Using the Value-at-Risk

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  • Abstract

    The paper intends to measure the daily Value-at-Risk (VaR) for Rial-Euro exchange rate fluctuations risk. Since in this case we deal with a single risk factor, so we will not use the Monte Carlo simulation method to measure the VaR and we will only use the parametric and historical simulation methods for this purpose. The parametric method using the normal distribution and historical simulation with exponentially weighted data and without weighting is used to calculate VaR. Finally, the obtained results are brought and compared with each other, and we draw conclusions using the obtained results.