Currency basket as asset or base currency in value-at-risk computation
Marc Henrard ()
Risk and Insurance from EconWPA
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: 2003-10-12, Revised 2003-10-12
Note: Type of Document - LaTeX; prepared on Linux; to print on HP;
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpri:0310003
Access Statistics for this paper
More papers in Risk and Insurance from EconWPA
Series data maintained by EconWPA ().