This paper examines the dynamic dependence structure between Chinese Yuan and each of ve other currencies in the Asia-Paci fic region on non-deliverable forward contracts over the period of July 4, 2006 throughout August 31, 2011. Using the date that Lehman Brothers led for bankruptcy as the...

A new method which is based on the Hill plot is proposed to determine an appropriate threshold in the POT (Peaks Over Threshold) model. Different from the traditional Hill plot method, the proposed method can determine the threshold by quantification, and is easy to be implemented by a computer...

In this paper, we shall propose a useful approach to evaluate concretely the MEMM (minimal entropy martingale measure) for the typical geometric Lévy processes such as compound Poisson, stable, VG (Variance Gamma), CGMY (Carr-Geman-Madan-Yor), NIG (Normal Inverse Gaussian), etc. In addition, we...

In order to cope with daily foreign currency exchange payments or trades and avoid liquidity crisis, central banks need to maintain the liquidity of foreign exchange reserves. In this paper, we develop a Foreign Exchange Reserves Liquidity Management (FERLM) model based on stochastic process by...