Abstract

The article is devoted to the elaboration of the scientific and practical reccomendations for the formation of the cost and structure of the bank currency portfolio according to the level of risk of currency fluctuations. It has been noted that the consideration of the dynamics of the costituent currencies risk estimates must be taken into account in the formation of currency portfolio. The main approaches to the definition of the «currency risk» have been isolated. The comparative characteristic of methods of the currency risk estimation has been formed. These methods are: stastistical, expert, analytical, analogies and combined. It has been determined that the results of the calculation of the «value at risk» (VaR) are: absolute estimate of VaR, relative estimate of VaR, estimate of capital at risk CaR. The methods of the estimation of VaR have been classified. These methods are: analitical (delta-normal, covariance-variation, parametric methods); historical modeling method (non-parametric methods); semiparametric methods (theory of extreme values and methods of maximum likelihood); Monte Carlo simulation method. The comparative characteristic of these methods has been formed by such criterias as: adequacy to nonlinear tools, taking into account volatility, measurement of extreme situations, model risk, sample size, computational complexity, clearness, simplisity of using. The dynamics and volatility of USD and EUR exchange rates for 2010–2016 on the Ukrainian curency market have been investigated. The dynamics and structure of the currency portfolio of PJSC «PRIVATBANK» for 2012–2016 have been analized. By means of correlation analysis the relation between open currency position of bank and the components of the estimate of the curency rate changes for each curency and a portfolio as a whole has been determined. The relative estimate of VaR for the currency portfolio of PJSC «PRIVATBANK» for 2012-2016 has been obtained by delta-normal parametric method with probability 99%. The correlation between VaR and currency portfolio structure and cost has been obtained.

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