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Currency basket as asset or base currency in value-at-risk computation

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Author Info

  • Marc Henrard

    (Bank for International Settlements)

Abstract

This note describes the problem arising from using a currency basket in the computation of value-at-risk. This applies mainly when the basket is used as base currency. A solution based on the modification of the historical time series is proposed. The solution is easy to implement and doesn't have important draw-back.

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File URL: http://128.118.178.162/eps/ri/papers/0310/0310003.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Risk and Insurance with number 0310003.

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Length:
Date of creation: 12 Oct 2003
Date of revision: 12 Oct 2003
Handle: RePEc:wpa:wuwpri:0310003

Note: Type of Document - LaTeX; prepared on Linux; to print on HP;
Contact details of provider:
Web page: http://128.118.178.162

Related research

Keywords: Currency basket; SDR; value-at-risk; historical series;

This paper has been announced in the following NEP Reports:

References

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  1. Marc Henrard, 2005. "Value-at-Risk: The Delta-normal Approach," Risk and Insurance 0509001, EconWPA.
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