Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

foreign exchange sign in to follow this
FX sign in to follow this
Students t sign in to follow this
multivariate sign in to follow this
Categories:

VaR Methods sign in to follow this
--Specific Assets/Strategies sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Efficient Estimation of Extreme Value-at-Risks for Standalone Structural Exchange Rate Risk
Year Of Publication: 2014
Month Of Publication: August
Resource Link: Click here to open
Pages: 11
Download Count: 0
View Count: 1164
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 8-12-2014
Publisher: Administrator
Summary
The intuition of the proposed method is that, conditional on either the future foreign currency earning or the change in the exchange rate, the distribution of the structural exchange rate risk is usually analytically tractable. The proposed method can be implemented by solving a nonlinear equation via a simple one-dimensional numerical integration and is generally applicable under the distributional assumptions commonly employed in practice.
This document may be downloaded without charge from MPRA by clicking the "Buy from Publisher" button (you must be signed in to Gloria-Mundi).
Author(s)
He, Zhongfang Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile