Evaluating Currency Risk in Emerging Markets

被引：0
作者：
S. Y. Novak
V. Dalla
L. Giraitis
机构：
[1] Middlesex University,Royal Holloway
[2] University of London,Department of Economics
[3] Queen Mary,undefined
[4] University of London,undefined
来源：
Acta Applicandae Mathematicae | 2007年 / 97卷
关键词：
Currency risk; Emerging markets; Value-at-Risk; Heavy-tailed data; 62G32; 62M10;
D O I：
暂无
中图分类号：
学科分类号：
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.
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页码：163 / 175
页数：12
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