Historical and Implied Measures of “Value at Risk”: The DM and Yen Case
نویسندگان
چکیده
James N. Bodurtha, Jr. and Qi Shen* July 1994 last revised: October 1999 Abstract “Value at risk” is a measure of corporations’ and banking institutions’ sensitivity to market price movements. This measure has been adopted as a global capital adequacy standard. Since value at risk management is a portfolio application, value at risk measurement requires standard deviation and correlation estimates. Following price value at risk convention, we analyze ex-post dollar/mark and dollar/yen log exchange rate change sample standard deviations and dollar/mark-dollar/yen log exchange rate change sample correlations. To examine the information content of ex-ante standard deviation and correlation estimates, we use historical based forecasts, as well as option implied forecasts
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