Financial Analytics: Science and Experience
 

Methodological approaches to estimating the currency risk of gold mining enterprises

Vol. 11, Iss. 2, MAY 2018

Received: 10 January 2018

Received in revised form: 14 February 2018

Accepted: 21 February 2018

Available online: 31 May 2018

Subject Heading: RISK, ANALYSIS AND EVALUATION

JEL Classification: G17, G32

Pages: 170–178

https://doi.org/10.24891/fa.11.2.170

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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