The Measurement and Analysis of Currency Mismatch Risk at Macro Level
The key issue of using VaR method to measure risk is the choice of models and distribution patterns, the effect of a single method is often unsatisfactory, based on this point, this paper analyses the VaR risk of currency mismatch with the combined measure of multiple models. The results show that: The VaR value of composite model is more reasonable and reliable than a single model; the risk of Chinese currency mismatches at this stage with debt-type characteristics is mainly because foreign currency assets grew faster than foreign currency liabilities; when there is a choice between currency appreciation and depreciation, currency appreciation is more favorable than depreciation to the weakening of the debt-based currency mismatch risk.
currency mismatch combined measure risk AR (m)-ARCH models
Wang Zhongzhao
Business School of Guangxi University, Nanning, China
国际会议
太原
英文
451-456
2010-10-22（万方平台首次上网日期，不代表论文的发表时间）