In this paper, we examine how to calculate the net present value (NPV) measure in currency portfolios that include exchange rates of different currencies, and introduce the net present value at risk (NPVAR) measure. This approach provides a better perspective for those who intend to invest through the purchase of foreign bonds and face exchange rate risk. To calculate these measures and considering the non-parametric correlation between exchange rates, we first fit two types of copula functions to real time series of several currency exchange rates. Then, we generate a large number of exchange rates using Monte Carlo simulation. Finally, we present two measures, NPV and NPVAR, for portfolios containing real bonds. We also use the NPVAR method for managing bond portfolios.
Habibi, R. (2024). NPV at Risk Method for Evaluation of Uncertain Investment Project: A Simulation Approach. (e730121). Andishe_ye Amari, 29(1), e730121 https://doi.org/10.22034/jr_iss.2024.730121
MLA
Habibi, R. "NPV at Risk Method for Evaluation of Uncertain Investment Project: A Simulation Approach" .e730121 , Andishe_ye Amari, 29, 1, 2024, e730121. doi: 10.22034/jr_iss.2024.730121
HARVARD
Habibi R. (2024). 'NPV at Risk Method for Evaluation of Uncertain Investment Project: A Simulation Approach', Andishe_ye Amari, 29(1), e730121. doi: 10.22034/jr_iss.2024.730121
CHICAGO
R. Habibi, "NPV at Risk Method for Evaluation of Uncertain Investment Project: A Simulation Approach," Andishe_ye Amari, 29 1 (2024): e730121, doi: 10.22034/jr_iss.2024.730121
VANCOUVER
Habibi R. NPV at Risk Method for Evaluation of Uncertain Investment Project: A Simulation Approach. Andishe_ye Amari. 2024;29(1):e730121 (In Persian). doi: 10.22034/jr_iss.2024.730121
