Simulated stress testing on asian currencies.

• Main Author: Chan, Inn Leng.
• Other Authors: Tan, Kok Hui
• Format: Theses and Dissertations
• Language: English
• Published: 2008
• Subjects: DRNTU::Business::Finance::Risk management; DRNTU::Business::Finance::Money
• Online Access: http://hdl.handle.net/10356/7844
• Institution: 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...