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 …

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 …

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

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 …

and then asses how they affect an emerging economy whose interest rate is affected by a world risk-free rate and a risk …

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 …