|
(Project
Coordinator : Shri. Aditya Gaiha & Dr. Supriya Kumar De)
Risk Management is being perceived as one of the significant tools to be used by the majority of players in the Indian Financial sector for being able to maintain their positions and move onto becoming major players in the international financial markets. With growing globalization and opening up of the economy, forex risk management becomes a key performance area for banks and financial institutions in India, as they have to cater to a growing need of forex transactions of their customers.
Banks and Financial Institutions in India have woken up to the new realities of financial risk. These institutions face various kinds of risks, including amongst others foreign exchange risk, credit risk, inflation risk, country risk, capital risk, economic risk, mortgage risk, liquidity risk, market risk, opportunity risk, income risk, interest rate risk, prepayment risk, business risk, counter party risk, purchasing-power risk. etc.
Various risk analysis models, both statistical and non-statistical, are under use in different parts of the world with varying degrees of success. This project is an attempt at finding out the VAR (Value at Risk) of different currencies depending upon the historical values of currencies selected by the user. The project assumes Indian currency as the base currency. This project also aims at calculating the default risk of a firm. If the value of assets dips below the default point, then the firm defaults. Therefore, the probability of default is the probability that the asset value will fall below the default point.
|
