Modelling VaR for foreign-asset portfolios in continuous time

被引：8

作者：

Chen, Fen-Ying ^{[1
]}

Liao, Szu-Lang ^{[2
]}

机构：

[1] Shih Hsin Univ, Dept Finance, Taipei 116, Taiwan

[2] Natl Chengchi Univ, Dept Money & Banking, Taipei 116, Taiwan

来源：

ECONOMIC MODELLING | 2009年 / 26卷 / 01期

关键词：

Continuous time; Foreign-asset portfolio; Volatility of exchange rate; Correlation coefficient; Backtesting;

D O I：

10.1016/j.econmod.2008.07.004

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

VaR is widely viewed as a measure of market risk of a portfolio. The purpose of this article is to provide a VaR model for foreign-asset portfolios in continuous time. In the VaR model, the VaRs are not only a function of volatilities of asset returns and exchange rate but also a function of correlation coefficient between foreign assets and exchange rate. Moreover, by backtesting, the empirical results show that the new VaR model can efficiently evaluate the market risk of foreign-asset portfolios. (c) 2008 Elsevier B.V. All rights reserved.

引用

页码：234 / 240

页数：7

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