He, Zhongfang (2014): Efficient estimation of extreme valueatrisks for standalone structural exchange rate risk.

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Abstract
The standalone structural exchange rate risk depends on the product of the future foreign currency earning and the change in the exchange rate. Its ValueatRisk (VaR) implying an extremely high survival probability, usually exceeding 99.9%, is used in practice to determine its economic capital. This paper proposes a new conditional method to calculate such extreme VaRs that is shown to be more efficient than the conventional method of directly simulating from the joint distribution of the future foreign currency earning and the change in the exchange rate. The intuition of the proposed method is that, conditional on either the future foreign currency earning or the change in the exchange rate, the distribution of the structural exchange rate risk is usually analytically tractable. The proposed method can be implemented by solving a nonlinear equation via a simple onedimensional numerical integration and is generally applicable under the distributional assumptions commonly employed in practice.
Item Type:  MPRA Paper 

Original Title:  Efficient estimation of extreme valueatrisks for standalone structural exchange rate risk 
English Title:  Efficient estimation of extreme valueatrisks for standalone structural exchange rate risk 
Language:  English 
Keywords:  valueatrisk, structural exchange rate risk, extreme value 
Subjects:  C  Mathematical and Quantitative Methods > C0  General > C02  Mathematical Methods G  Financial Economics > G3  Corporate Finance and Governance > G32  Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill 
Item ID:  57800 
Depositing User:  Zhongfang He 
Date Deposited:  08 Aug 2014 04:00 
Last Modified:  05 Oct 2019 05:16 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/57800 