Evaluating Currency Risk in Emerging Markets |
| |
| Authors: | S Y Novak V Dalla L Giraitis |
| |
| Institution: | (1) Middlesex University, London, UK;(2) Royal Holloway, University of London, Egham, UK;(3) Department of Economics, Queen Mary, University of London, Mile End Road, London, E1 4NS, UK |
| |
| Abstract: | We present a systematic approach to the problem of evaluating currency risk. The approach involves a test for stationarity,
and a method of estimating Value-at-Risk (VaR) and Expected Shortfall (ES) from dependent heavy-tailed data. Various estimation
methods are compared and the accuracy of the approach is discussed. An application of the technique to the Mexican peso/US
dollar exchange rate reveals the level of currency risk foreign investors face in Mexico.
|
| |
| Keywords: | Currency risk Emerging markets Value-at-Risk Heavy-tailed data |
| 本文献已被 SpringerLink 等数据库收录！ |
|
