Sökning: "Haibo Yan"

Hittade 1 uppsats innehållade orden Haibo Yan.

  1. 1. Evaluation and Analysis of Value at Risk Methodologies for Exchange Rate Risk in the Euro Market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Yu Shao; Haibo Yan; [2012]
    Nyckelord :Value at Risk; volatility clustering; exchange rate; volatility weighted historical simulation; normal distribution; student t-distribution; extreme value theory; Business and Economics;

    Sammanfattning : The deteriorating European economic situation has suggested the necessity of risk management in the exchange rate of EUR for governments and corporations, but there is few researches studying in this field. In this thesis, by choosing USD/EUR, JPY/EUR and GBP/EUR as subjects, with a focus on the availability of different methods to the estimation of exchange rate risk of EUR, we aim to calculate the VaR of those three kinds of exchange rates and try to find the most accurate model to measure exchange rate risk in different environments and periods. LÄS MER