In this paper we derive the measure of position-unwinding risk of currency carry trade portfolios from the currency … currency volatility, and highly correlated with global currency skewness risk. We show that high interest-rate currencies are … (overshooting) upon default components to analyze currency risk premia. We investigate the sovereign CDS spreads as the proxy for …

This is the first study that employs option pricing model to measure the position-unwinding risk of currency carry …

to model daily DM-based and median currency-based bilateral exchange rates of countries participating in the original ERM …

. This modelling framework is employed to model daily DM-based and median currency-based bilateral exchange rates of …

. This modelling framework is employed to model daily DM-based and median currency-based bilateral exchange rates of …

fundamental determinants. We therefore address the question of whether a supposed safe haven currency only appreciates in times of … crises because carry trades are unwound, in which the corresponding currency has served as funding currency, or whether it … currencies, and the euro serves as a hedge currency. Results for the yen support its role as a carry funding vehicle, but not …

fundamental determinants. We therefore address the question of whether a supposed safe haven currency only appreciates in times of … crises because carry trades are unwound, in which the corresponding currency has served as funding currency, or whether it … currencies, and the euro serves as a hedge currency. Results for the yen support its role as a carry funding vehicle, but not …