Physics – Physics and Society
Scientific paper
2006-08-18
Acta Phys. Pol. B 37, 3005 (2006)
Physics
Physics and Society
To be published in Acta Phys. Pol. B
Scientific paper
The aim of this paper is to determine the Value at Risk (VaR) of the portfolio consisting of long positions in foreign currencies on an emerging market. Basing on empirical data we restrict ourselves to the case when the tail parts of distributions of logarithmic returns of these assets follow the power laws and the lower tail of associated copula C follows the power law of degree 1. We will illustrate the practical usefulness of this approach by the analysis of the exchange rates of EUR and CHF at the Polish forex market.
No associations
LandOfFree
On Value at Risk for foreign exchange rates - the copula approach does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with On Value at Risk for foreign exchange rates - the copula approach, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On Value at Risk for foreign exchange rates - the copula approach will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-567692