choosing the composition of the bank's foreign exchange portfolio to reduce risk of the Managing net open position (NOP)

Subject Areas : Financial engineering

yousef toomari ¹ , mozhgan safa ² , Mir Feiz Falah ³ , Hossein Moghadam ⁴

1 - PhD student, Department of Financial Management, Qom Branch, Islamic Azad University, Qom, Iran
2 - Assistant Professor, Department of Accounting, Qom Branch, Islamic Azad University, Qom, Iran
3 - Associate Professor, Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran and member of the New Financial Risks Research Group, Tehran, Iran
4 - Assistant Professor, Department of Accounting, Qom Branch, Islamic Azad University, Qom, Iran

Received: 2023-05-26 Accepted : 2023-07-23 Published : 2024-08-15

Keywords: Risk, Sepah Bank, Foreign exchange portfolio, foreign exchange status,

Abstract :

The purpose of this research is to choose the composition of the bank's foreign exchange portfolio to reduce the risk of managing net open positions (NOP). This realization aims to answer the question of whether it is possible to optimize the currency portfolio based on different value-at-risk models, including Var, Copula VaR, and Copula CVaR. In this research, on a quantitative scale and observations in the form of time series, the daily logarithmic return percentage of the two main and common currencies in the country's business, including the US Dollar and the EURO, in Sepah Bank from 2013 April 6 to 2021 September 22.The results of the selected portfolio based on these three methods show that, according to the obtained results, the Copula GARCH VaR model has a higher Sharpe value than the other two methods. On the other hand, the results of the average Sharpe obtained from the portfolios on the efficient border between the three methods are presented, according to the obtained values, we find that there is a significant difference at the 95% statistical confidence level between the average of the three methods presented, during which the Copula model GARCH VaR is ranked higher.

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