VAR Method and the Risk of Exchange Rate
For the companies entering into the world market, the exchange risk would affect their earnings. It would be very important for the companies to know the loss that may happened when they hold foreign currencies. In this paper, with the VAR method, the author will provide one method for the companies to decide the ratios of holding different currencies with the least risk and give the most likely loss of this holding portfolio. It would be helpful for these companies.
VAR method exchange rate risk
ZHANG Wei ZHANG Fan
Department of Economics & Management, East China Institute of Technology, Nanchang, P.R.China,330013
国际会议
威海
英文
131-135
2010-07-24（万方平台首次上网日期，不代表论文的发表时间）