Browsing School of Pure and Applied Sciences by Subject "Backtesting"

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Using Conditional Extreme Value Theory to Estimate Value-at-Risk for Daily Currency Exchange Rates

Omari, Cyprian O.; Mwita, Peter N.; Waititu, Antony G. (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

Omari, Cyprian O.; Mwita, Peter N.; Waititu, Antony G (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 ...