A Study of VaR Estimation Method of Foreign Exchange Rate Risks Based on GED
Usually because financial time series variables have time-varying volatility and heavy-tailed property, the parametric method of determining VaR frequently used is econometric model analysis of error terms using ARCH or GARCH, etc. This article directly assumes that foreign exchange rate variables obey Generalized Error Distribution (GED) with heavy-tails, deduces the risk loss function of certain foreign exchange position held by a country or a company at the beginning of the period caused by the volatility of foreign exchange rates during the future continuous n periods, and gives the density and distribution functions of the loss function as a random variable in recursion forms as well as the method of deciding quantile for calculating VaR. Finally, the VaR measurement model of foreign exchange rates fluctuation during future continuous n periods will be constructed on the basis of GED in order to provide a new way for measuring foreign exchange rate risks.
Foreign Exchange Position Foreign Exchange Rate Rrisks Loss Function GED VaR
Jiao Jiwen Liu Hong Guo Can
School of Management, Shandong University, Jinan, P.R.China 250100 Information Institute, Zhongnan University of Economics and Law, Wuhan, P.R.China, 430064
国际会议
郑州
英文
2008-09-20（万方平台首次上网日期，不代表论文的发表时间）