Evaluating currency risk in emerging markets

被引：2
|
作者：
Novak, S. Y.
Dalla, V.
Giraitis, L.
机构：
[1] Univ London, Queen Mary, Dept Econ, London E1 4NS, England
[2] Univ London, Royal Holloway & Bedford New Coll, Egham TW20 0EX, Surrey, England
[3] Middlesex Univ, London N17 8HR, England
来源：
ACTA APPLICANDAE MATHEMATICAE | 2007年 / 97卷 / 1-3期
关键词：
currency risk; emerging markets; value-at-risk; heavy-tailed data;
D O I：
10.1007/s10440-007-9128-8
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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.
引用
收藏
页码：163 / 175
页数：13
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