Value-at-risk estimation of foreign exchange rate risk in India
Onkar Shivraj Swami, Santosh Kumar Pandey, Puneet Pancholy
| Year of publication: |
March 2016
|
|---|---|
| Authors: | Swami, Onkar Shivraj ; Pandey, Santosh Kumar ; Pancholy, Puneet |
| Published in: |
Asia-Pacific journal of management research and innovation : APJMRI. - Los Angeles [u.a.] : Sage, ISSN 2319-510X, ZDB-ID 2838029-0. - Vol. 12.2016, 1, p. 1-10
|
| Subject: | Foreign exchange rate risk | internal models approach | Value-at-Risk | historical simulation | variance-covariance | VaR backtesting | Risikomaß | Risk measure | Währungsrisiko | Exchange rate risk | Indien | India | Wechselkurs | Exchange rate | ARCH-Modell | ARCH model | Simulation | Risikomanagement | Risk management | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1177/2319510X16650057 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011559372