Forecasting currency risk of enterprise’s asset portfolio using the Monte Carlo simulation

• Authors: Kaczmarzyk Jan
• Languages of publication: EN

Abstracts

EN

The aim of the paper is to point out that the Monte Carlo simulation is an easy and flexible approach when it comes to forecasting risk of an asset portfolio. The case study presented in the paper illustrates the problem of forecasting risk arising from a portfolio of receivables denominated in different foreign currencies. Such a problem seems to be close to the real issue for enterprises offering products or services on several foreign markets. The changes in exchange rates are usually not normally distributed and, moreover, they are always interdependent. As shown in the paper, the Monte Carlo simulation allows for forecasting market risk under such circumstances.

Keywords

EN

currency risk; forecasting; enterprise; Monte Carlo method

• Publisher: Komitet Nauk o Finansach PAN
• Journal: FINANSE Czasopismo Komitetu Nauk o Finansach PAN
• Year: 2018
• Issue: 1(11)
• Pages: 140-150

Contributors

author

Kaczmarzyk Jan

• Uniwersytet Ekonomiczny w Katowicach

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