The Application of Value at Risk in Chinese Commercial Banks for the Foreign Exchange Rate Risk Management
This paper mainly discusses the application of VaR models in the commercial banks of China for the foreign exchange rate risk management, comparing three basic approach of VaR: variance-covariance method, historical simulation approach and Monte Carlo approach. The foreign exchange rate system is...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2009
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| Online Access: | https://eprints.nottingham.ac.uk/23132/ |