A Comparative Study on Value-at Risk Measuring Methods Using IRR-USD Exchange Rate Data

Abstract

This article intends to compare parametric and historical simulation methods in measuring the daily Value-at-Risk (VaR) for Rial-Dollar exchange rate fluctuations risk. The parametric method using the normal distribution and historical simulation with exponentially weighted data and without weighting are used to calculate VaR. Finally, the obtained results are brought and compared with each other, and we draw conclusions using them. The obtained results show that the exponentially weighted historical VaR is more appropriate than other methods used in this case.