Portfolio diversification is an accepted principle of risk management. When constructing an efficient portfolio, there are a number of asset classes to choose from. Financial innovation is expanding the range of instruments. In addition to traditional commodities and securities, other...

This study estimates value-at-risk (VaR) to measure foreign exchange risk in Indonesia's banking industry using quantile regression (QR) approach. Four large banks whose capital and assets were the biggest were observed, and their selection was based on their market share in the industry. To...