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

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.

MoreLess

Year of publication:	2003-10-12
Authors:	Henrard, Marc
Institutions:	EconWPA
Subject:	Currency basket \| SDR \| value-at-risk \| historical series

More details

Extent:	application/pdf
Series:	Risk and Insurance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - LaTeX; prepared on Linux; to print on HP;
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005126113