Abstract:

Value at risk (VaR) is an attempt to represent by a single number the total risk in a portfolio of financial assets. This measure was introduced by J. P. Morgan in 1994 and is now widely used by both financial institutions and corporate treasuries and investment funds. The Banking Supervisory Committee of the Bank for International Settlements also uses it to calculate capital requirements for banks. The advantages that risk-value estimation offers lie in its ability to express quantitatively, numerically, the level of risk of a portfolio at a given time as well as that of a certain open position (in capital market securities, loans granted , investments in currencies, etc.) by an economic agent, in this case a financial-banking institution. In this research, the VaR was calculated for a portfolio of currencies held by a bank in order for an investor to be able to find out what is the maximum loss expected from this investment.