Currency basket as asset or base currency in value-at-risk computation
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References listed on IDEAS
- Marc Henrard, 2005. "Value-at-Risk: The Delta-normal Approach," Risk and Insurance 0509001, EconWPA.
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KeywordsCurrency basket; SDR; value-at-risk; historical series;
NEP fieldsThis 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)
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