966
Serial number: 19/2013
Author(s): T. Hasanov
Language: Azerbaijani
Date: 2013
Abstract: Exchange rate risk measurement is essential for the banking system as it helps monitor and reduce the vulnerabilities that banks are exposed to. Banks finance part of their business activities with the external funding and also have assets in foreign currencies values of which can deteriorate or improve depending on the movement of the exchange rates and the foreign currency borrowing concentration of the bank. In this paper VAR (Value at Risk) method was used to calculate the exchange rate risk in the Azerbaijan banking sector. Model reveals that banking system won`t be substantially affected from the variations in exchange rate.
Key words: Exchange rate, risk management, VAR, foreign currency, Azerbaijan banking sector, Value-at-Risk
JEL classification: F31, G32
