- Tytuł:
- Forecasting currency risk of enterprise’s asset portfolio using the Monte Carlo simulation
- Autorzy:
- Kaczmarzyk, Jan
- Powiązania:
- https://bibliotekanauki.pl/articles/2097019.pdf
- Data publikacji:
- 2018
- Wydawca:
- Polska Akademia Nauk. Komitet Nauk o Finansach PAN
- Tematy:
-
currency risk
forecasting
enterprise
Monte Carlo method - Opis:
- The aim of the paper is to point out that the Monte Carlo simulation is an easy and flexible approach when it comes to forecasting risk of an asset portfolio. The case study presented in the paper illustrates the problem of forecasting risk arising from a portfolio of receivables denominated in different foreign currencies. Such a problem seems to be close to the real issue for enterprises offering products or services on several foreign markets. The changes in exchange rates are usually not normally distributed and, moreover, they are always interdependent. As shown in the paper, the Monte Carlo simulation allows for forecasting market risk under such circumstances.
- Źródło:
-
FINANSE Czasopismo Komitetu Nauk o Finansach PAN; 2018, 1(11); 140-150
1899-4822 - Pojawia się w:
- FINANSE Czasopismo Komitetu Nauk o Finansach PAN
- Dostawca treści:
- Biblioteka Nauki
Artykuł