Currency basket as asset or base currency in value-at-risk computation
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.
|Date of creation:||12 Oct 2003|
|Date of revision:||12 Oct 2003|
|Note:||Type of Document - LaTeX; prepared on Linux; to print on HP;|
|Contact details of provider:|| Web page: http://22.214.171.124|
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.
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpri:0310003. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA)
If references are entirely missing, you can add them using this form.