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Value-at-Risk or VaR is one of risk measures which deals with maximum loss of <br /> <br /> <br /> <br /> <br /> assets. We are concerned, in this thesis, with calculating VaR for exchange rate <br /> <br /> <br /> <br /> <br />...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/14027 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Value-at-Risk or VaR is one of risk measures which deals with maximum loss of <br />
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assets. We are concerned, in this thesis, with calculating VaR for exchange rate <br />
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returns. It is well-known that changes/volatility in currency or exchange rates yield <br />
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risk and this must be controlled. As a function of volatility, VaR is an appropriate <br />
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tool to do so. Specifically, we have used a GARCH (1,1) model to predict volatility. <br />
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Assessment of the accuracy of VaR prediction is carried out by calculating ex- <br />
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ception rate and conditional coverage probability. Our numerical study is using the <br />
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foreign exchange rates between Indonesian Rupiah (IDR) against US Dollar (USD), <br />
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Australian Dollar, Euro, Japanese Yen, Thailand Bhat and China Yuan. It is found <br />
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that highest VaR is for IDR-USD exchange rate returns. This condition represents <br />
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that a transaction using US Dollar has a highest potential risk compared with other <br />
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currencies. |
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