Abstract
The article studies the short-term investment risk in currency market. We present the econometric model for measuring the market risk using Value at Risk (VaR) and conditional VaR (CVaR). Our main goals are to examine the risk of hourly time intervals and propose to use seasonal decomposition for calculation of the corresponding VaR and CVaR values. The suggested method is tested using empirical data with long position EUR/USD exchange hourly rate. © Springer-Verlag Berlin Heidelberg 2006.
Cite
CITATION STYLE
Sakalauskas, V., & Kriksciuniene, D. (2006). Short-term investment risk measurement using VaR and CVaR. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 3994 LNCS-IV, pp. 316–323). Springer Verlag. https://doi.org/10.1007/11758549_47
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