RT info:eu-repo/semantics/bachelorThesis
T1 Valor en riesgo del tipo de cambio en divisas
A1 Hernández Rodríguez, Yaiza
K1 Valor en riesgo
AB The goal of this work is analyzing the Value at Risk in portfolios denominated in foreign currency.Either investment point of view or financing point of view, exchange rate risk is essential for properfinancial risk management. First, some approaches used in the quantitative measurement of currency portfolios risk areexplained, being the most prominent methods: Historical Simulation, Variance-Covariance Methodand Monte Carlo Simulation. Second, the Forex currency market is introduced, the largest and most liquid financial market inthe world. Daily trading of Forex exceeds the joint daily trading of all the bond and stock marketsin the world. Investors around the world buy and sell currencies by exchanging between offer anddemand. And finally, we address the resolution of different case studies focusing on a particular currency,the currency of Poland, the Zloty, illustrating with examples how the calculation of the Value at Riskwould be carried out in different situations of interest.
YR 2019
FD 2019
LK http://riull.ull.es/xmlui/handle/915/16801
UL http://riull.ull.es/xmlui/handle/915/16801
LA es
DS Repositorio institucional de la Universidad de La Laguna
RD 26-abr-2024