List of Articles پرتفوی ارزی

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  1 - Designing a Risk Assessment Model and determining an Optimal Currency Portfolio for banks by Value-at-risk (VaR) criterion and exponentially weighted moving average (EWMA)
  Gholamreza Bayati Mohammad Ebrahim mohammadPourzarandi
  Banks as fund intermediaries in providing and allocating resources to the community, encounter market risk, liquidity risk and etc. In this study, the market risk, is taken into consideration in order to determine the optimal currency basket, one of the fundamental aspe More

  Banks as fund intermediaries in providing and allocating resources to the community, encounter market risk, liquidity risk and etc. In this study, the market risk, is taken into consideration in order to determine the optimal currency basket, one of the fundamental aspects of Foreign Currency Reserve Management in banks, which itself is also affected by fluctuating interest rates, exchange rates, stock prices and etc. The approach used in this paper is the value-at-risk criterion (VaR) the variance-covariance method, along with the exponentially weighted moving average (EWMA) technic. Value at risk actually summarizes the types of risks in a single digit, and it releases the senior management from bunches of risk calculations. The purpose is to design a model which provide an optimal combination for holding 6 currency reserves such as U.S. dollar, Dirham, Yen, Lira, Won, and Euro in Bank Mellat using the reference rates data of the aforementioned currencies in 2018. At the end, the model was solved using LINGO and Excel software. The results show that the maximum share of the US dollar and the dirhams in the currency basket of Bank Mellat are 33% and 67%, respectively. Accordingly, if the share of that currencies mentioned above exceed the obtained digits in the currency basket, then the maximum expected losses on the currency portfolio increase over the time and at the level of desired level of confidence. Also, other currencies are so risky, therefore Mellat Bank, to hold these currencies must plan more based on its trading needs. Manuscript profile
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  2 - choosing the composition of the bank's foreign exchange portfolio to reduce risk of the Managing net open position (NOP)
  yousef toomari mozhgan safa Mir Feiz Falah Hossein Moghadam
  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 More

  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. Manuscript profile
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  3 - Optimal Currency Portfolio of Foregin Exchange Reserves in the Central Bank of I. R. Iran (Post-Modern Portfolio Approach)
  Saeed Daei-Karimzadeh
  One of key aspects of foreign reserves management in central banks is to determine appropriate currency portfolio of foreign exchange reserves. In this study, optimal currency composition of four major reserve currency (including dollar, euro, pound and yen) in currency More

  One of key aspects of foreign reserves management in central banks is to determine appropriate currency portfolio of foreign exchange reserves. In this study, optimal currency composition of four major reserve currency (including dollar, euro, pound and yen) in currency portfolio of the central bank of Iran analyzed. For this purpose, post modern portfolio approach and quarterly data during 2011 to 2014 used and efficient frontier of the central bank extracted as well. The results indicate that maximum share of dollar, euro and yen in the strategic currency reserves portfolio of the central bank is respectively 35, 29 and 48 percent. Accordingly, if share of the currencies in the currency portfolio was more than these figures, the value of reserves is reduced. Furthermore, pound is a risky currency, so the central bank to hold the currency, mainly should act based on his transaction needs. Manuscript profile