FOREX Risk: Measurement and Evaluation Using Value‐at‐Risk

Don Bredın · Stuart Hyde

28 citations0/0 files storedJournal of Business Finance &amp Accounting

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Financial Risk and Volatility Modeling Risk Management in Financial Firms Risk and Portfolio Optimization

Abstract

Abstract: We measure and evaluate the performance of a number of Value‐at‐Risk (VaR) methods using a portfolio based on the foreign exchange exposure of a small open economy (Ireland) among its trading partners. The sample period highlights the changing nature of Ireland’s exposure to risk over the past decade in the run‐up to EMU. Our results offer an indication of the level of accuracy of the various approaches and discuss the issues of models ensuring statistical accuracy or more conservative leanings. Our findings suggest that the Orthogonal GARCH model is the most accurate methodology while the EWMA specification is the more conservative approach.

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References

1986Generalized autoregressive conditional heteroskedasticity 1995Multivariate Simultaneous Generalized ARCH 1998Evaluating Interval Forecasts 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models 2007Evaluation of Value-at-Risk Models Using Historical Data 1995Asset Pricing with a FACTOR-ARCH Covariance Structure: Empirical Estimates for Treasury Bills 1997Bank Capital and Value at Risk

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2007APPLICATION OF MONTE CARLO SIMULATION METHODS IN RISK MANAGEMENT

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