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https://ah.lib.nccu.edu.tw/handle/140.119/63904
題名: | Modelling VaR for Foreign-asset Portfolios in Continuous Time | 作者: | Chen, Fen-Ying ; Liao, Szu-Lang 陳芬英;廖四郎 |
貢獻者: | 金融系 | 關鍵詞: | Continuous time; Foreign-asset portfolio; Volatility of exchange rate; Correlation coefficient; Backtesting | 日期: | Jan-2009 | 上傳時間: | 17-Feb-2014 | 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. | 關聯: | Economic Modelling, 26(1), 234-240 | 資料類型: | article | DOI: | http://dx.doi.org/10.1016/j.econmod.2008.07.004 |
Appears in Collections: | 期刊論文 |
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