Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5055102 | Economic Modelling | 2012 | 10 Pages |
Abstract
⺠We construct a two-step framework to explore the risk exposure of country portfolio. ⺠We examine the risk-return tradeoff of the oil import portfolio of the FSU. ⺠We adopt the modified VaR model to model the dynamic risk exposure. ⺠China suffers more significant risk exposure of country portfolio than EU does.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Xiaolei Sun, Jianping Li, Ling Tang, Dengsheng Wu,