On Value at Risk for Foreign Exchange Rates -the Copula Approach *
نویسنده
چکیده
The present paper is a continuation of [1]. In the previous paper we dealt with the purely asymptotic estimations, whereas now our goal is to provide some estimates valid for quite a substantial part of the tail. We shall deal with the following simple case. An investor operating on an emerging market, has in his portfolio two currencies which are highly dependent, for example euros (EUR) and Swiss franks (CHF). Let R1 and R2 be their rates of returns at the end of the investment. Let wi be the part of the capital invested in the i-th currency, w1 +w2 = 1, w1, w2 > 0. So the final value of the investment equals
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تاریخ انتشار 2006