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On Value at Risk for Foreign Exchange Rates - The Copula Approach
Company: Acta Physica Polonica B
Year Of Publication: 2006
Month Of Publication: October
Pages: 3006-3015
Download Count: 600
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 10-28-2006
Publisher: Administrator
Summary
The aim of this paper is to determine the Value at Risk (V aR) of theportfolio consisting of long positions in foreign currencies on an emergingmarket. Basing on empirical data we restrict ourselves to the case whenthe tail parts of distributions of logarithmic returns of these assets followthe power laws and the lower tail of associated copula C follows the powerlaw of degree 1. We will illustrate the practical usefulness of this approachby the analysis of the exchange rates of EUR and CHF at the Polish forexmarket.
Author(s)
Jaworski, Piotr Sign in to follow this author
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