Evaluating Currency Risk in Emerging Markets

• Autores: S. Y. Novak, V. Dalla, L. Giraitis
• Localización: Acta applicandae mathematicae, ISSN 0167-8019, Vol. 97, Nº. 1-3, 2007, págs. 163-175
• Idioma: inglés
• DOI: 10.1007/s10440-007-9128-8
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• Resumen

  • We present a systematic approach to the problem of evaluating currency risk. The approach involves a test for stationarity, and a method of estimating Value-at-Risk (VaR) and Expected Shortfall (ES) from dependent heavy-tailed data. Various estimation methods are compared and the accuracy of the approach is discussed. An application of the technique to the Mexican peso/US dollar exchange rate reveals the level of currency risk foreign investors face in Mexico.