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://econwpa.repec.org|
References listed on IDEAS
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- Marc Henrard, 2005. "Value-at-Risk: The Delta-normal Approach," Risk and Insurance 0509001, EconWPA.
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