966- Media
- Press-releases
- Announcements and notices
- Presentations and speeches
- Corporate Social Responsibility
- Photo gallery
- Video gallery
- Events
- Request for information
- Officials authorized to consider cases on administrative violations
- Consumer and Investor Rights
- Financial Sector Development Strategy
- Financial Literacy
- Sustainable Finance
- International Cooperation
- Human Resources
- Information Disclosure Schedule
- References
- FinCERT
- Media
- About us
- Monetary policy
- Market actors
- Credit institutions
- Capital market
- Issuers
- Stock Exchange
- National Depository Center
- Investment companies
- Banks providing investment services and operations
- Clearing House
- Investment funds and their managers
- Specialization certificates
- Prospectus and information memorandum templates
- Guidelines on licensing procedures in the capital market
- State registered investment securities
- Insurance
- Payments
- National postal operator
- Currency exchange offices
- Statistics on Applications Considered by the Interview Commission
- Legal framework
- Payment systems
- National Currency
- Statistics
- Publications and research
- Annual reports
- Financial Stability Report
- Banking sector macroprudential policy framework
- Risk-Based Supervision Policy Concept of the Central Bank of the Republic of Azerbaijan
- Brief Overview of the Supervision Technologies Road Map of the Central Bank of the Republic of Azerbaijan for 2024-2029
- Cybersecurity Strategy in Financial Markets
- Sustainable Finance Roadmap
- Credit Conditions and Funding Sources Survey Results
- Working paper series
- Econometric models
- Strategic Framework for a Microfinance Model
Serial number: 03/2014
Author(s): A.Zulfugarov, L.Yusifzada, A.Mammadova
Language: Azerbaijani
Date: 2014
Abstract: Main purpose of the research is to estimate Value at Risk (VAR) model for Azerbaijan banking sector. Different methodologies of VAR (parametric, historical simulation and Monte-Carlo simulation) were reviewed. VAR for currency risk was estimated for two hypothetical banks. VAR results for currency risk indicated that currency risk was lower. Even with the currency risk being taken into account, the capital adequacy ratio remains above the minimum capital requirement of the Central Bank.
Key words: Basel, VAR, risk management, foreign currency, exchange rate risk
JEL classification: G32, O24, C36
