Simulated stress testing on asian currencies.

• المؤلف الرئيسي: Chan, Inn Leng.
• مؤلفون آخرون: Tan, Kok Hui
• التنسيق: Theses and Dissertations
• اللغة: English
• منشور في: 2008
• الموضوعات: DRNTU::Business::Finance::Risk management; DRNTU::Business::Finance::Money
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/7844
• المؤسسة: 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...