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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/63904


    Title: Modelling VaR for Foreign-asset Portfolios in Continuous Time
    Authors: Chen, Fen-Ying;Liao, Szu-Lang
    陳芬英;廖四郎
    Contributors: 金融系
    Keywords: Continuous time;Foreign-asset portfolio;Volatility of exchange rate;Correlation coefficient;Backtesting
    Date: 2009-01
    Issue Date: 2014-02-17 17:48:55 (UTC+8)
    Abstract: VaR is widely viewed as a measure of market risk of a portfolio. The purpose of this article is to provide a VaR model for foreign-asset portfolios in continuous time. In the VaR model, the VaRs are not only a function of volatilities of asset returns and exchange rate but also a function of correlation coefficient between foreign assets and exchange rate. Moreover, by backtesting, the empirical results show that the new VaR model can efficiently evaluate the market risk of foreign-asset portfolios.
    Relation: Economic Modelling, 26(1), 234-240
    Data Type: article
    DOI link: http://dx.doi.org/10.1016/j.econmod.2008.07.004
    DOI: 10.1016/j.econmod.2008.07.004
    Appears in Collections:[Department of Money and Banking] Periodical Articles

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