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

foreign exchange sign in to follow this
Iran sign in to follow this
historical simulation sign in to follow this
parametric sign in to follow this
Categories:

VaR Methods sign in to follow this
--Evaluation/Comparison sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
A Comparative Study on Value-at Risk Measuring Methods Using IRR-USD Exchange Rate Data
Company: Journal of Advanced Social Research
Company Url: Click here to open
Year Of Publication: 2012
Month Of Publication: April
Pages: 93-100
Download Count: 10
View Count: 1229
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 4-15-2012
Publisher: Administrator
Summary
This article intends to compare parametric and historical simulation methods in measuring the daily Value-at-Risk (VaR) for Rial-Dollar exchange rate fluctuations risk. The parametric method using the normal distribution and historical simulation with exponentially weighted data and without weighting are used to calculate VaR. Finally, the obtained results are brought and compared with each other, and we draw conclusions using them. The obtained results show that the exponentially weighted historical VaR is more appropriate than other methods used in this case.
(volume 2, number 2)
Author(s)
Shaker, Saeed Sign in to follow this author
Mohammadi, Parastoo 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