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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Mikhail Rodichkin
Copula Models in the Bank Currency Risk Management
2016
A key task in assessing the portfolio currency risk of bank or some financial company is the relationship between the currency position of the portfolio. The aim is to build a model of joint distribution of portfolio returns consisting of foreign currency positions. In this paper i consider the currency risk modeling using copulas function, generalized hyperbolic distributions, nonparametric kernel estimators, and GARCH model. The proposed method is used to assess portfolio risk and determine the best weights of the portfolio with minimal risk. On the basis of these results were demonstrated that the use of copulas is preferable, because it leads to a more accurate risk assessment.

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