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  • Search: subject:"Monte Carlo simulation for VaR"
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Eexchange rate risk 1 Monte Carlo simulation for VaR 1 RiskMetricsTM 1 bootstrapping 1 evaluation 1
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Kozarevic, Emina 1
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Economic Analysis 1
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Comparative Analysis of VaR Models Aplicability in the Evaluation of Exchange Rate Risk in the B&H Banking Sector
Kozarevic, Emina - In: Economic Analysis 43 (2010), pp. 29-41
In this paper the author tests a variety of market VaR models for evaluation of exposure to exchange rate risk, in order to illuminate the advantages and disadvantages of their implementation in the B&H banking sector. As known, B&H monetary policy operates on the basis of currency board...
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