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논문 기본 정보
- 자료유형
- 학술대회자료
- 저자정보
- 발행연도
- 2008.5
- 수록면
- 695 - 704 (10page)
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This study analyzes the extreme movements of Won/US dollar. Won/Euro, Won/Yen. The estimate of Generalized Pareto Ddistribution and risk measure(VaR and ES) are presented.
The empirical results show that the distribution of the exchange rate movement is heavy tailed and the extreme value analysis is appropriate. Second, the left tail is more heavy tailed than the right tail. Third, the tail in USD is less heavy tailed than that in EURO and Yen. Fourth, USD is less risky in terms of VaR as a quantile measure of risk. But USD is not less risky in terms of ES as a conditional expectation measure.
We suggest that the investors consider the different aspects of the exchange risk. Also, the regulatory agency of the foreign exchange market should consider these problems. In the future, it is necessary to study the effectiveness of the policy of the regulatory agency.
The empirical results show that the distribution of the exchange rate movement is heavy tailed and the extreme value analysis is appropriate. Second, the left tail is more heavy tailed than the right tail. Third, the tail in USD is less heavy tailed than that in EURO and Yen. Fourth, USD is less risky in terms of VaR as a quantile measure of risk. But USD is not less risky in terms of ES as a conditional expectation measure.
We suggest that the investors consider the different aspects of the exchange risk. Also, the regulatory agency of the foreign exchange market should consider these problems. In the future, it is necessary to study the effectiveness of the policy of the regulatory agency.
목차
【Abstract】
1. Introduction
2. Data and methodologies
4. Results
5. Conclusions
References
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UCI(KEPA) : I410-ECN-0101-2009-325-019120215