Measuring and managing exchange rate risk exposure is important for reducing a firm''s vulnerabilities from major … traditional types of exchange rate risk faced by firms, namely transaction, translation and economic risks, presents the VaR … approach as the currently predominant method of measuring a firm''s exchange rate risk exposure, and examines the main …

unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk—in terms of the …

portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules … optimal to sell many higher-risk assets when a shock to one asset occurs …

This paper reviews the rules in place in selected countries to limit risk concentrations in the credit portfolio. The … in imposing standards for risk diversification in the credit portfolio. The issues reviewed for each country are the …

Value-at-Risk (VaR) models often are used to estimate the equity investment that is required to limit the default rate … income required by investors. While this issue has been identified in the market risk setting, it has yet to be recognized in … the credit risk literature. Credit VaR techniques, as typically described, are not an appropriate basis for setting equity …

rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria … could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the … economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge …

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to … simply ignore the effects of macroeconomic shocks on credit risk. Aiming to improve the measurement of portfolio credit risk … portfolio multivariate distributions (on which portfolio credit risk measurement relies) with improved specifications, when only …

We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism … their conditional distributions. In particular, the model matches the key stylized facts of growth at risk. Accounting for …

suggest that idiosyncratic risk is: higher at times of large return outcomes for the asset class as a whole; positively … autocorrelated; and correlated across different asset classes. The implications for risk management are discussed …