Currency basket as asset or base currency in value-at-risk computation
AbstractThis 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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Bibliographic InfoPaper provided by EconWPA in its series Risk and Insurance with number 0310003.
Date of creation: 12 Oct 2003
Date of revision: 12 Oct 2003
Note: Type of Document - LaTeX; prepared on Linux; to print on HP;
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Currency basket; SDR; value-at-risk; historical series;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-10-20 (All new papers)
- NEP-IFN-2003-10-20 (International Finance)
- NEP-RMG-2003-10-20 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Marc Henrard, 2005. "Value-at-Risk: The Delta-normal Approach," Risk and Insurance 0509001, EconWPA.
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