Home  Journals  Finance and Credit  38(566) - 2013 October

Improvement of methods of management by currency risks in bank

Available online: 24 October 2013

Subject Heading: Banking

JEL Classification: 

In the article it is noted that strengthening of interaction of the countries conducts to expansion of the sphere of the international financial relations, increase and acceleration of currency streams. Essential manifestation of financial globalization is traced in development of the banking sector. Therefore the question of improvement of methods of control over currency risks gained special relevance. It is offered to change approach to formation of an open currency position at banks on the basis of portfolio optimization. It is connected with that the open currency position (OCP) structure significantly influences its cost under risk of VAR, and by structuring OVP it is possible to achieve essential decrease in VAR.

Keywords: currency risks, management, currency streams, portfolio optimization

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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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