Is Value-at-Risk (VaR) a Fair Proxy for Market Risk Under Conditions of Market Leverage?
Ex-post intraday market-risk extrema are compared with ex-ante standard RiskMetrics parametric Value-at-Risk (VaR) limits for three foreign currency futures markets (British Pound, Japanese Yen, Swiss Frank) to determine whether forecasted volatility of market returns based on settlement price data...
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| Format: | Others |
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Virginia Tech
2014
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| Online Access: | http://hdl.handle.net/10919/36361 http://scholar.lib.vt.edu/theses/available/etd-12212000-222116/ |