Risks measurement from market risks of “Bank Melli Iran” Baku Branch on currency portfolio
In “Bank Melli Iran” Baku Branch capital requirement adequacy of currency risk belongs to the market risks is checked regularly along with the credit risks according to the requirements of Basel 2. At that time the calculation is applied by the methods used in international experiment. So that, internal models approach is used in the calculation of minimum capital requirement. In the calculation of Value at Risk (VAR), net value at risk and volatilities are taken into account. Finally VAR 99.9% is calculated confidently. So that, the coefficient in the following calculation of our bank corresponding to the 99.09% of degree of certainty was marked with the figure of 2.33 corresponding to the degree of certainty. Calculation of the relevant capital requirement for the currency risks which are the integral part of market risk in “Bank Melli Iran” Baku Branch:
VAR= | Value* | Volatility* | √10/252* | 2,33 |
60,00 | ||||
∑ VARt-1, | ||||
Capital requirement market/ internal model approach = Max | (VAR t-1, F* | —————- | ) | |
Portfolio | √ N1^2*VARn1^2+N1^2*VARn2^2+correlation* 2*N1*N2*VAR1*VAR2 |
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