Currency basket as asset or base currency in value-at-risk computation

Marc Henrard ()

Risk and Insurance from EconWPA

Abstract: This note describes the problem arising from using a currency basket in the computation of value-at-risk. This applies mainly when the basket is used as base currency. A solution based on the modification of the historical time series is proposed. The solution is easy to implement and doesn't have important draw-back.

Keywords: Currency basket; SDR; value-at-risk; historical series (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ifn and nep-rmg
Date: Written
Note: Type of Document - LaTeX; prepared on Linux; to print on HP;
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpri:0310003

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