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Backtesting the tail risk of VaR in holding US dollar
Wong, Woon K. - In: Applied financial economics 19 (2009) 4/6, pp. 327-337
Persistent link: https://www.econbiz.de/10003828498
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Backtesting the Tail Risk of VaR in Holding US Dollars
Wong, Woon K. - 2008
. In this paper, various risk models are used to forecast the Value-at-Risk (VaR) in holding the currency. Being a quantile … measure, VaR disregards valuable information conveyed by the sizes of tail losses. As a result, there is tail risk in the use … of VaR in practice. Saddlepoint technique is used to backtest tail risk of VaR by summing all the tail losses …
Persistent link: https://www.econbiz.de/10014222328
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Oil tail risk and the tail risk of the US Dollar exchange rates
Salisu, Afees A.; Olaniran, Abeeb; Tchankam, Jean Paul - In: Energy economics 109 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013283764
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The generalised pareto distribution model approach to comparing extreme risk in the exchange rate risk of BitCoin/US Dollar and South African Rand/US Dollar Returns
Ndlovu, Thabani; Chikobvu, Delson - In: Risks : open access journal 11 (2023) 6, pp. 1-16
employed to estimate the Value at Risk (VaR) and the Expected Shortfall (ES) for the two exchange rates, BitCoin/US dollar … (BitCoin) and the South African rand/US dollar (ZAR/USD). The estimated risk measures are used to compare the riskiness of the … significance further confirm the higher risk associated with BitCoin. Model adequacy is confirmed using the Kupiec test procedure …
Persistent link: https://www.econbiz.de/10014334466
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Forecasting VaR using analytic higher moments for GARCH processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45
Persistent link: https://www.econbiz.de/10010460001
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Dynamic characteristics of the daily yen-dollar exchange rate
Kurita, Takamitsu - In: Research in international business and finance 30 (2014), pp. 72-82
Persistent link: https://www.econbiz.de/10010390291
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Analyzing the use of generalized hyperbolic distributions to value at risk calculations
Barbachan, José Santiago Fajardo; Farias, Aquiles Rocha de - In: Economia aplicada : EA 9 (2005) 1, pp. 25-38
Persistent link: https://www.econbiz.de/10002889308
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Value at risk with high frequency data
Barucci, Emilio; Renò, R. - In: New trends in banking management : with 42 tables, (pp. 223-231). 2002
Persistent link: https://www.econbiz.de/10001703812
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Stress testing using VaR approach - a case for Asian currencies
Tan, Kok-hui; Chan, Inn-Leng - In: Journal of international financial markets, … 13 (2003) 1, pp. 39-55
Persistent link: https://www.econbiz.de/10001723750
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Riesgo cambiario, brecha de madurez y cobertura con futuros: análisis local y de valor en riesgo
González Aréchiga, Bernardo; Díaz Tinoco, Jaime; … - In: Economía mexicana 10 (2001) 2, pp. 259-290
Persistent link: https://www.econbiz.de/10001614954