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https://ptsldigital.ukm.my/jspui/handle/123456789/464426| Title: | Stress testing value-at-risk |
| Authors: | Tan, Kok-Hui Chan, Inn-Leng |
| Conference Name: | Eleventh Annual PACAP/FMA Finance Conference |
| Keywords: | Asian currencies Foreign exchange market |
| Conference Date: | 1999-07-08 |
| Conference Location: | Pan Pacific Hotel, Singapore |
| Abstract: | This paper examines the performances of two stress testing approaches - the variance-covariance approach and the Monte Carlo approach - on a portfolio consisting only of Asian currencies. The results indicate that both approaches produce similar risk measures for stress tests. However, their performance measures are not as strong. |
| Pages: | 27 |
| Call Number: | HG4026.A536 1999 sem |
| Publisher: | Nanyang Business School, Nanyang Technological University |
| URI: | https://ptsldigital.ukm.my/jspui/handle/123456789/464426 |
| Appears in Collections: | Seminar Papers/ Proceedings / Kertas Kerja Seminar/ Prosiding |
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