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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)

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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://129.3.20.41/eps/ri/papers/0310/0310003.pdf
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Publisher Info
Paper provided by EconWPA in its series Risk and Insurance with number 0310003.

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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;
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Web page: http://129.3.20.41

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

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This paper has been announced in the following NEP Reports: References listed on IDEAS
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  1. Marc Henrard, 2005. "Value-at-Risk: The Delta-normal Approach," Risk and Insurance 0509001, EconWPA. [Downloadable!]
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