Showing 1 - 10 of 8,276
Persistent link: https://www.econbiz.de/10009667092
Persistent link: https://www.econbiz.de/10011653721
Persistent link: https://www.econbiz.de/10011673879
Persistent link: https://www.econbiz.de/10012545817
Persistent link: https://www.econbiz.de/10012423037
This paper deals with the issue of calculating daily Value-at-Risk (VaR) measures within an environment of thin trading. Our approach focuses on fixed income portfolios with low frequency of transactions in which the missing data problem makes VaR measures difficult to calculate. We propose and...
Persistent link: https://www.econbiz.de/10005413068
Value-at-Risk (VaR) is a widely used tool for assessing financial market risk. In practice, the estimation of liquidity extreme risk by VaR generally uses models assuming independence of bid–ask spreads. However, bid–ask spreads tend to occur in clusters with time dependency, particularly...
Persistent link: https://www.econbiz.de/10010597521
The standalone structural exchange rate risk depends on the product of the future foreign currency earning and the change in the exchange rate. Its Value-at-Risk (VaR) implying an extremely high survival probability, usually exceeding 99.9%, is used in practice to determine its economic capital....
Persistent link: https://www.econbiz.de/10011109711
Persistent link: https://www.econbiz.de/10012490211
Persistent link: https://www.econbiz.de/10012294144