Zaernyuk V.M.Russian State Geological Prospecting University (MGPI-RSGPU), Moscow, Russian Federation zvm4651@mail.ru ORCID id: not available
Snitko N.O.Russian State Geological Prospecting University (MGPI-RSGPU), Moscow, Russian Federation nikita.snitko@yandex.ru ORCID id: not available
Subject This paper considers the methodological approaches to assessing the currency risk as a hedging tool in gold mining enterprises' operation. Objectives The paper aims to develop an assessment methodology for currency risk adapted to gold mining enterprises. Methods A methodological basis for assessing the currency risk of gold mining companies is the systems approach. As well, we used the method of historical modeling. Results The assessment of currency risk is proposed to be implemented on the basis of the VAR concept and the methodology for assessing stress losses. Stress assessment is suggested to be carried out for two types of shocks, determined by the growth of currency rates by ten and thirty percent. Conclusions and Relevance The developed methodology is characterized by a number of advantages. It reduces the amount of laborious calculations and evaluation time. The methodology can be used to make informed decisions in the development of management decisions in order to minimize currency risk.
Keywords: currency risk, exchange rate, volatility, currency position
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