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subject:"riskmetrics"
(32 results)
1
Estimación del riesgo bursátil peruano
Zevallos, Mauricio
- In:
Revista Economía
(
2008
)
62
,
pp. 109-126
) on 2000-2006. Specifically,
RiskmetricsTM
and the quantile regression technique CAViaR proposed by Engle and Manganelli …
Persistent link: https://www.econbiz.de/10008596679
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2
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...
Persistent link: https://www.econbiz.de/10010635761
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