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FOREX Risk: Measurement and Evaluation Using Value-at-Risk (2004)

Bredin, Don ; Hyde, Stuart

Oxford, UK; Malden, USA : Blackwell Publishing Ltd/Inc.

Journal of business finance & accounting 31 (2004), S. 0

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ISSN: 1468-5957

Source: Blackwell Publishing Journal Backfiles 1879-2005

Topics: Economics

Notes: Abstract: We measure and evaluate the performance of a number of Value-at-Risk (VaR) methods using a portfolio based on the foreign exchange exposure of a small open economy (Ireland) among its trading partners. The sample period highlights the changing nature of Ireland’s exposure to risk over the past decade in the run-up to EMU. Our results offer an indication of the level of accuracy of the various approaches and discuss the issues of models ensuring statistical accuracy or more conservative leanings. Our findings suggest that the Orthogonal GARCH model is the most accurate methodology while the EWMA specification is the more conservative approach.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1111/j.0306-686X.2004.00578.x

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