English, Article edition: Distribution of extreme changes in Asian currencies: tail index estimates and value-at-risk calculations Raj Aggarwal; Min Qi

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Bookmark: http://trove.nla.gov.au/version/50150
Physical Description
  • article
Language
  • English

Edition details

Title
  • Distribution of extreme changes in Asian currencies: tail index estimates and value-at-risk calculations
Author
  • Raj Aggarwal
  • Min Qi
Physical Description
  • article
Notes
  • This study examines the distribution of extreme values in daily currency changes for nine Asian countries. Using an improved estimator, extreme changes in Asian currencies can generally be represented by Frechet distributions. Our results are robust to the choice of the numeraire currency, the Asian crises and the 1985 Plaza Agreement. These results are important as asset and derivative pricing models, and Value-at-Risk (VaR) calculations depend on accurate assessments of the distribution of extreme values. Indeed, VaRs based on our fitted extreme distributions are similar to VaRs based on historical distributions but are multiples of those based on normal distributions.
  • RePEc:taf:apfiec:v:19:y:2009:i:13:p:1083-1102
Language
  • English
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