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
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)