Browsing by Subject "Financial Risk Management (FRM)"
Now showing items 1-2 of 2
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Using Conditional Extreme Value Theory to Estimate Value-at-Risk for Daily Currency Exchange Rates
(Scientific Research Publishing Inc., 2017)This paper implements different approaches used to compute the one-day Value-at-Risk (VaR) forecast for a portfolio of four currency exchange rates. The concepts and techniques of the conventional methods considered in ... -
Using Conditional Extreme Value Theory to Estimate Value-at-Risk for Daily Currency Exchange Rates
(IOP Publishing, 2017)This paper implements different approaches used to compute the one-day Value-at-Risk (VaR) forecast for a portfolio of four currency exchange rates. The concepts and techniques of the conventional methods considered in ...