Showing 1 - 10 of 23
In this paper historical performance of eleven approaches for estimation of one-day 95% value-at-risk is evaluated. Random sample of 1000 foreign exchange portfolios consisting of positions in EUR and USD with CZK as a base currency was considered. Since foreign exchange portfolio consists of...
Persistent link: https://www.econbiz.de/10005036597
Persistent link: https://www.econbiz.de/10001507832
Persistent link: https://www.econbiz.de/10000914027
Persistent link: https://www.econbiz.de/10001254294
Persistent link: https://www.econbiz.de/10001386995
Persistent link: https://www.econbiz.de/10001247431
Persistent link: https://www.econbiz.de/10001326881
Persistent link: https://www.econbiz.de/10001181074
Persistent link: https://www.econbiz.de/10001202727
Persistent link: https://www.econbiz.de/10001582459