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Measuring Exchange Rate Fluctuations Risk Using the Value-at-Risk
Company: Journal of Applied Finance & Banking
Company Url: Click here to open
Year Of Publication: 2012
Month Of Publication: June
Pages: 65-79
Download Count: 13
View Count: 1216
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 8-20-2012
Publisher: Administrator
Summary
The paper intends to measure the daily Value-at-Risk (VaR) for Rial-Euro exchange rate fluctuations risk. Since in this case we deal with a single risk factor, so we will not use the Monte Carlo simulation method to measure the VaR and we will only use the parametric and historical simulation methods for this purpose. The parametric method using the normal distribution and historical simulation with exponentially weighted data and without weighting is used to calculate VaR. Finally, the obtained results are brought and compared with each other, and we draw conclusions using the obtained results.
(volume 2, number 3)
Author(s)
Shaker, Saeed Sign in to follow this author
Mohammadi, Parastoo Sign in to follow this author
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