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Foreign exchange risk in a managed float regime : a case study of Pakistani rupee
Mudakkar, Syeda Rabab; Uppal, Jamshed Y.; Zaman, Khalid; … - In: Economic modelling 35 (2013), pp. 409-417
Persistent link: https://www.econbiz.de/10010259786
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Idiosyncrasies of intraday risk in emerging and developed markets : efficacy of the MCS-GARCH model and extreme value theory
Banerjee, Aditya; Paul, Samit - In: Global business review 25 (2024) 2, pp. 468-490
Persistent link: https://www.econbiz.de/10014634250
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Alarming of exchange rate crisis : a risk management approach
Zhao, Da; Wu, Tianhao - In: Risk governance & control : financial markets & institutions 6 (2016) 2, pp. 79-88
Persistent link: https://www.econbiz.de/10011657506
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Using conditional extreme value theory to estimate value-at-risk for daily currency exchange rates
Omari, Cyprian Ondieki; Mwita, Peter N.; Waititu, Antony G. - In: Journal of mathematical finance 7 (2017) 4, pp. 846-870
Persistent link: https://www.econbiz.de/10011859906
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Estimating and forecasting portfolio's Value-at-Risk with wavelet-based extreme value theory : evidence from crude oil prices and US exchange rates
Jammazi, Rania; Nguyen, Duc Khuong - In: Journal of the Operational Research Society : OR 68 (2017) 11, pp. 1352-1362
Persistent link: https://www.econbiz.de/10011815894
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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 … the BTC/USD is riskier than the ZAR/USD. The computed VaR estimates for losses of $0.07, $0.09, and $0.16 per dollar …
Persistent link: https://www.econbiz.de/10014334466
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Value at risk estimation for heavy tailed distributions
Gammoudi, Imed; BelKacem, Lotfi; El Ghourabi, Mohamed - In: The international journal of business and finance … 8 (2014) 3, pp. 109-125
Persistent link: https://www.econbiz.de/10010241908
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Testing for multiple regimes in the tail behavior of emerging currency returns
Candelon, Bertrand; Straetmans, Stefan - In: Journal of international money and finance 25 (2006) 7, pp. 1187-1205
Persistent link: https://www.econbiz.de/10003394359
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Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung; Gonpot, Preethee Nunkoo - In: The journal of risk model validation 9 (2015) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10011410313
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Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions
Szubzda, Filip; Chlebus, Marcin - In: Central European economic journal 6 (2019) 53, pp. 70-85
The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation …. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were … movements. While in the pre-crisis period the results were satisfactory, in the period of crisis VaR forecasts were too often …
Persistent link: https://www.econbiz.de/10012302139