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

Author

Listed:
  • 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.

Suggested Citation

  • Marc Henrard, 2003. "Currency basket as asset or base currency in value-at-risk computation," Risk and Insurance 0310003, University Library of Munich, Germany, revised 12 Oct 2003.
  • Handle: RePEc:wpa:wuwpri:0310003
    Note: Type of Document - LaTeX; prepared on Linux; to print on HP;
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/ri/papers/0310/0310003.pdf
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    References listed on IDEAS

    as
    1. Marc Henrard, 2005. "Value-at-Risk: The Delta-normal Approach," Risk and Insurance 0509001, University Library of Munich, Germany.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

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

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