Title Upravljanje rizicima portfelja valuta Title (english) Currency Portfolio Risk Management Author Silvija Rožić Mentor Manuel Benazić (mentor)Committee member Ines Kersan-Škabić (predsjednik povjerenstva)Committee member Manuel Benazić (član povjerenstva)Committee member Lela Tijanić (član povjerenstva)Granter University of Pula Defense date and country 2022-04-27, Croatia Scientific / art field, SOCIAL SCIENCES Abstract Rizik je prisutan u svakodnevnom životu te predstavlja određenu nesigurnost ili opasnost koja se može dogoditi u budućnosti i imati neželjene posljedice. Najčešće vrste rizika su: kreditni rizik, kamatni rizik, rizik likvidnosti, operativni rizik i valutni rizik. Valutni rizik jedan je od najznačajnijih rizika, te nas on upozorava da promjena deviznog tečaja utječe na vrijednost aktive i pasive financijskih institucija koje su denominirane stranom valutom. Valutni rizik se najčešće mjeri pomoću
... More izvješća o valutnom gapu, VaR metodologijom i metodom očekivanog gubitka. Gap izvješće osnovni je model mjerenja valutnog rizika. VaR metodologija je metoda koja se najčešće koristi za izračun valutnog rizika. Postoje tri osnovna modela za izračun VaR-a, a to su RiskMetrics model, povijesna simulacija i Monte Carlo simulacija. Kako bi valutnim rizikom što lakše upravljali tu će nam pomoći terminske transakcije, financijski derivati i operacije na novčanom tržištu davanjem ili uzimanjem kredita.
Veoma veliku ulogu ima i diversifikacija portfelja kako bi se što lakše smanjio rizik barem jednog faktora koji utječe na cjeloviti portfelj. Za izgradnju portfelja bitna su četiri koraka:upoznaj samog sebe, upoznaj svoju investiciju, upravljanje rizicima i uravnoteženje portfelja.
U ovome radu izračunate su standardne mjere rizika za tri odabrana tečaja te su prikazani primjeri izračuna VaR metode i povijesne metode na odabranim portfeljima. Less Abstract (english) Risk is present in everyday life and represents a certain uncertainty or danger that may occur in the future and have unintended consequences. The most common types of risk are: credit risk, liquidity risk, interest rate risk, operational risk and currency risk. Currency risk is one of the most significant risks, and he warns us that changes in foreign exchange rates can affect the value of assets and liabilities of financial institutions denominated in foreign currency. Currency risk is most
... More often measured using the currency gap report, the VaR methodology and the expected loss method. The Gap report is the basic model for measuring currency risk. VaR methodology is the method most commonly used to calculate currency risk. There are three basic models for calculating VaR, namely the RiskMetrics model, the historical simulation, and the Monte Carlo simulation. In order to manage currency risk as easily as possible, it is possible to manage forward transactions, financial derivatives and money market operations by taking or lending.
Portfolio diversification also plays a very important role in order to minimize the risk of at least one factor that affects the entire portfolio. There are four important steps to building a portfolio: getting to know yourself, getting to know your investment, managing risk, and balancing your portfolio.
In this paper, standard risk measures for three selected exchange rates are calculated and examples of calculation of VaR methods and historical methods on selected portfolios are presented. Less Keywords
rizik
valutni rizik
VaR metodologija
diversifikacija
portfelj
Keywords (english)
risk
currency risk
VaR methodology
diversification
portfolio
Language croatian URN:NBN urn:nbn:hr:137:397824 Study programme Title: Business Economics; Financial Management, Marketing Management, Management and Entrepreneurship,Tourism, Business Informatics; specializations in: Financial Management, Marketing Management, Management and Entrepreneurship, Tourism and Development, Business Informatics, Informatics Management Type of resource Text File origin Born digital Access conditions Open access Terms of use Created on 2022-04-29 13:00:30
