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File name: SSRN-id1933264. ; Size: 488K
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Value at Risk & Transaction Exposure:
An Inter-Temporal Lexicographic Permutation of a Six-Currency Portfolio
Kashi Khazeh
Salisbury University
Fatollah Salimian
Salisbury University - Franklin P. Perdue School of Business
Robert C. Winder
Christopher Newport University - Department of Accounting, Economics, and Finance
September 25, 2011
Abstract:
Combinations of a six-Currency portfolio are studied for a two-year period to access the reliability of “value at risk” approach to measuring the transaction exposure. The values at risk for each currency and for every additional currency portfolio are estimated for each year. The outcomes for the different permutations for each year are compared, not only in alphabetical and reverse alphabetical order, but for the best case scenario as well, to weigh up the reliability of the value at risk methodology. Comparing the results of the two years, it is established that variability in both the standard deviations of the individual exchange rates and their covariance can result in notably diverse estimates of value at risk, even over daily time periods.
Number of Pages in PDF File: 8
Keywords: Six Currency, Value at Risk
JEL Classification: D92, F31
working papers series
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Date posted: September 26, 2011
Suggested CitationKhazeh, Kashi, Salimian, Fatollah and Winder, Robert C., Value at Risk & Transaction Exposure:
An Inter-Temporal Lexicographic Permutation of a Six-Currency Portfolio (September 25, 2011). Available at SSRN: http://ssrn.com/abstract=1933264 or http://dx.doi.org/10.2139/ssrn.1933264
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