论文信息 - Short-Term Investment Risk Measurement Using VaR and CVaR

Short-Term Investment Risk Measurement Using VaR and CVaR

The article studies the short-term investment risk in currency market. We present the econometric model for measuring the market risk using Value at Risk (VaR) and conditional VaR (CVaR). Our main goals are to examine the risk of hourly time intervals and propose to use seasonal decomposition for calculation of the corresponding VaR and CVaR values. The suggested method is tested using empirical data with long position EUR/USD exchange hourly rate.

Virgilijus Sakalauskas | Dalia Kriksciuniene

[1] K. Dowd. Measuring Market Risk , 2002 .

[2] Pierre Giot,et al. Market risk models for intraday data , 2005 .

[3] Philippe Artzner,et al. Coherent Measures of Risk , 1999 .

[4] P. J. Thomson,et al. Non-parametric estimation of historical volatility , 2004 .

[5] P. Gopikrishnan,et al. Inverse cubic law for the distribution of stock price variations , 1998, cond-mat/9803374.

[6] Clive W. J. Granger,et al. Large returns, conditional correlation and portfolio diversification: a value-at-risk approach , 2001 .

[7] M. Yor,et al. The Fine Structure of Asset Retums : An Empirical Investigation ' , 2006 .

[8] Norman V. Loayza,et al. What Drives Private Saving Around the World? , 1999 .

[9] Jon Danielsson,et al. Value-at-Risk and Extreme Returns , 2000 .

[10] S. Shapiro,et al. A Comparative Study of Various Tests for Normality , 1968 .

[11] S. Rachev,et al. Stable Paretian Models in Finance , 2000 .

[12] Phhilippe Jorion. Value at Risk: The New Benchmark for Managing Financial Risk , 2000 .

[13] Wolfgang Härdle,et al. Measuring Risk in Complex Stochastic Systems , 2000 .

[14] F. Diebold,et al. How Relevant is Volatility Forecasting for Financial Risk Management? , 1997, Review of Economics and Statistics.