Paper Info
Title
A Delta Normal Approach For Modelling Risk Forecasting Of Currency Portfolio: The Case Of Albanian Agro Exporters
Abstract
This research explores the benefits of a proactive model developed through delta normal approach implementation for the forecasting of currency portfolio volatility. The latter becomes a necessity for the Albanian agro exporters as they act in an international trading environment and face the de-Euroization process effects in domestic market. The forecasting of value at risk (VaR) at 99% confidence level is obtained through the implementation of a moving window containing 251 daily currency exchange rates logarithmic returns calculated by the exponentially weighted moving average method (EWMA). A decay factor of 0.94 is used in the simulated currency portfolios database (composed from six different currency positions) pertaining to 30 agro exporters in reference of 2018 year data. The analysis of incremental VaR decomposed in risk per currency unit and VaR contribution concludes that the implementation of this mechanism offers hedge opportunities and enables the agro exporters to undertake even speculative interventions.
Year
DOI
Venue
2020
10.4018/IJAEIS.2020100104
INTERNATIONAL JOURNAL OF AGRICULTURAL AND ENVIRONMENTAL INFORMATION SYSTEMS
Keywords
DocType
Volume
Agriculture Exporters, Currencies Variance-Covariance Estimation, Currency Portfolios, Delta Normal Approach, Value at Risk Estimation, Volatility Forecasting, Weighted Moving Average Method
Journal
11
Issue
ISSN
Citations 
4
1947-3192
0
PageRank 
References 
Authors
0.34
0
2
Name
Order
Citations
PageRank
Ardita Todri100.34
Francesco Roberto Scalera200.34