Estimation of foreign exchange market risk exposure
The study looks at the unexpected volatility in the foreign exchange market to determine the market risk exposure of the Philippine peso to the US dollar focusing on expected shortfall (ES). Estimates between historical and extreme value approach are compared. Peak-over-threshold (PoT) and block max...
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| Main Authors: | , |
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| Format: | text |
| Published: |
Animo Repository
2020
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| Subjects: | |
| Online Access: | https://animorepository.dlsu.edu.ph/faculty_research/11265 |
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| Institution: | De La Salle University |