Stress testing value-at-risk

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DC Field	Value	Language
dc.contributor.author	Tan, Kok-Hui	-
dc.contributor.author	Chan, Inn-Leng	-
dc.date.accessioned	2023-10-02T01:17:09Z	-
dc.date.available	2023-10-02T01:17:09Z	-
dc.identifier.uri	https://ptsldigital.ukm.my/jspui/handle/123456789/464426	-
dc.description.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.	en_US
dc.language.iso	en	en_US
dc.publisher	Nanyang Business School, Nanyang Technological University	en_US
dc.subject	Asian currencies	en_US
dc.subject	Foreign exchange market	en_US
dc.title	Stress testing value-at-risk	en_US
dc.type	Seminar Papers	en_US
dc.format.pages	27	en_US
dc.identifier.callno	HG4026.A536 1999 sem	en_US
dc.contributor.conferencename	Eleventh Annual PACAP/FMA Finance Conference	-
dc.coverage.conferencelocation	Pan Pacific Hotel, Singapore	-
dc.date.conferencedate	1999-07-08	-
Appears in Collections:	Seminar Papers/ Proceedings / Kertas Kerja Seminar/ Prosiding

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