Measuring Exchange Rate Risk of Chinese Foreign Exchange Reserves Using Copula and Extreme Value Theory

被引：0
|
作者：
Pan, Zhibin [1 ]
机构：
[1] E China Normal Univ, Dept Finance, Shanghai, Peoples R China
来源：
SEVENTH WUHAN INTERNATIONAL CONFERENCE ON E-BUSINESS, VOLS I-III: UNLOCKING THE FULL POTENTIAL OF GLOBAL TECHNOLOGY | 2008年
关键词：
foreign exchange reserves; exchange rate risk; Copula; Extreme Value Theory;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper proposes a method for estimating the foreign exchange rate risk of Chinese foreign reserves based on copula and extreme value theory. Each return is modeled by ARMA-TGARCH models with the joint distribution of innovations modeled by copula. The marginal distributions are modeled by the generalized Pareto distribution. We apply this model to estimate the 95% and 99% VaR, over a one-day holding period, for Chinese foreign reserves. The empirical result shows that this method can capture the extremes successfully.
引用
收藏
页码：1570 / 1574
页数：5
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