会议专题

Risk Evaluation for RMB Exchange Rate under Stochastic Volatility: An Empirical Study

The management of exchange rate risk has been a difficult task due to the high volatility of financial series. In this project, we treat exchange rate risks under stochastic model. In order to model them, VaR and CVaR are employed, which are a widely used tool in finance and engineering for measuring risk. The purpose of this research is to propose a new methodology for modeling exchange rate and estimating the tail-risk. In statistic estimation, we use MCMC method. Historical loss data of RMB/DS and RMB/Euro is used, in order to explore the methodologys efficiency and its potential benefits.

Exchange rate Stochastic volatility MCMC CVaR

Qiao Zhou Xun Wang

Department of Statistics and Finance University of Science and Technology of China Hefei, China

国际会议

2011 International Conference on Innovation and Information Management(2011年IEEE创新与信息管理国际会议 ICIIM2011)

成都

英文

92-95

2011-01-14(万方平台首次上网日期,不代表论文的发表时间)