FOREX Risk: Measurement and Evaluation Using Value‐at‐Risk

Don Bredin and Stuart Hyde

Journal of Business Finance & Accounting, 2004, vol. 31, issue 9‐10, 1389-1417

Abstract: Abstract: We measure and evaluate the performance of a number of Value‐at‐Risk (VaR) methods using a portfolio based on the foreign exchange exposure of a small open economy (Ireland) among its trading partners. The sample period highlights the changing nature of Ireland’s exposure to risk over the past decade in the run‐up to EMU. Our results offer an indication of the level of accuracy of the various approaches and discuss the issues of models ensuring statistical accuracy or more conservative leanings. Our findings suggest that the Orthogonal GARCH model is the most accurate methodology while the EWMA specification is the more conservative approach.

Date: 2004
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https://doi.org/10.1111/j.0306-686X.2004.00578.x

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Working Paper: Forex Risk: Measurement and Evaluation using Value-at-Risk (2002)
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