Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5055960 | Economic Modelling | 2009 | 7 Pages |
Abstract
VaR is widely viewed as a measure of market risk of a portfolio. The purpose of this article is to provide a VaR model for foreign-asset portfolios in continuous time. In the VaR model, the VaRs are not only a function of volatilities of asset returns and exchange rate but also a function of correlation coefficient between foreign assets and exchange rate. Moreover, by backtesting, the empirical results show that the new VaR model can efficiently evaluate the market risk of foreign-asset portfolios.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Fen-Ying Chen, Szu-Lang Liao,