In search of robust methods for multi-currency portfolio construction by value at risk
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DOI: 10.1007/s10690-018-9260-7
Abstract: The main purpose of this paper is to select the most appropriate technique predicting precisely the exchange rate risk from three main approaches, namely, the Historical Simulation approach, the Variance–Covariance approach and the Monte Carlo… read more here.
Keywords: value risk; multi currency; risk; currency portfolio ... See more keywords