Evaluating Currency Risk in Emerging Markets

Autor:	Violetta Dalla, Serguei Novak, Liudas Giraitis
Rok vydání:	2007
Předmět:	Expected shortfall Us dollar Exchange rate Applied Mathematics Econometrics Estimation methods Emerging markets Foreign exchange risk Value at risk Mathematics
Zdroj:	Acta Applicandae Mathematicae. 97:163-175
ISSN:	1572-9036 0167-8019
DOI:	10.1007/s10440-007-9128-8
Popis:	We present a systematic approach to the problem of evaluating currency risk. The approach involves a test for stationarity, and a method of estimating Value-at-Risk (VaR) and Expected Shortfall (ES) from dependent heavy-tailed data. Various estimation methods are compared and the accuracy of the approach is discussed. An application of the technique to the Mexican peso/US dollar exchange rate reveals the level of currency risk foreign investors face in Mexico.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::523a779fb7ecdeecd3add4d4d651ee63 https://doi.org/10.1007/s10440-007-9128-8 Zobrazit plný text záznamu Full text from SpringerLink