Essays about: "currency risk value at risk"

Showing result 1 - 5 of 15 essays containing the words currency risk value at risk.

  1. 1. Forecasting Exchange Rate Value-at-Risk and Expected Shortfall: A GARCH-EVT Approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Christoffer Titov; [2022]
    Keywords : GARCH; Extreme Value Theory; Value-at-Risk; Expected Shortfall; Exchange Rate Volatility; Business and Economics;

    Abstract : This thesis aims to investigate the accuracy of Value-at-Risk and Expected Shortfall forecasts of various GARCH-type models based on five currency exchange rate pairs. The GARCH models are employed under different conditional distributional assumptions, and extended using the two-stage Extreme Value Theory (EVT) approach of McNeil and Frey (2000). READ MORE

  3. 2. The natural effect of multi-currency cross-hedging

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Lina Berg; Linda Clement; [2018]
    Keywords : Multi-currency cross-hedging; Small- and medium-sized enterprises; Conditional Value at Risk; Exchange rate risk; Business and Economics;

    Abstract : This thesis investigates the power and accuracy of the natural effect of multi-currency cross-hedging, based on the non-zero correlation between currency pairs, with the purpose of deter-mining if this could be a suitable hedging strategy for small- and medium-sized enterprises hav-ing transaction exposure to currency risk. The investigation, performed through an out-of-sample approach, is based on the minimization of the risk measure Conditional Value at Risk. READ MORE

  4. 3. The Role of Gold in an Investment Portfolio : An empirical study on diversification benefits of gold from the perspective of Swedish investors

    University essay from Umeå universitet/Företagsekonomi

    Author : Nelly Fernando; [2017]
    Keywords : Gold; Investment Portfolio;

    Abstract : Human interaction with gold can be traced far back in history, and throughout history, the metal has been both worshipped and fought for. People almost intuitively place a high value on this yellow metal and gold has always had a special place in the human heart. READ MORE

  5. 4. Currency Basis Swap Valuation : Theory & Practise

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Josef Larsson; [2017]
    Keywords : Currency Basis Swap; Valuation; FX-swap;

    Abstract : Banks finance their operations in several ways, by shareholders equity, receiving deposits from customers and by borrowing from investors and other financial institutions. One widely used approach is to issue a bond. Bonds issued on the foreign capital markets is a way to increase the financing options and mitigate risk exposure. READ MORE

  6. 5. Bitcoin a favourable instrument for diversification? : A quantitative study on the relations between Bitcoin and global stock markets

    University essay from Umeå universitet/Företagsekonomi

    Author : Dominik Krause; Nga Pham; [2017]
    Keywords : Bitcoin; virtual currency; Garch model; Value at Risk; portfolio optimization;

    Abstract : Bitcoin is a peer to peer (p2p) payment cash system and an unregulated digital currency that is primarily designed and developed in 2008 without tender legal status. Bitcoin is so-called cryptocurrency because it uses the cryptographic function in order to secure the creation and transfer of money. READ MORE