Simulated stress testing on asian currencies.

• 主要作者: Chan, Inn Leng.
• 其他作者: Tan, Kok Hui
• 格式: Theses and Dissertations
• 語言: English
• 出版: 2008
• 主題: DRNTU::Business::Finance::Risk management; DRNTU::Business::Finance::Money
• 在線閱讀: http://hdl.handle.net/10356/7844
• 機構: Nanyang Technological University

Events like the recent Asian financial crisis had triggered an urgent need for the development of simple and reliable stress testing models that did not require extensive subjective judgment. Kupiec(1998) proposed such a model based on historical covariance and volatilities. This paper, with the mai...