EconPapers Home About EconPapers Working Papers Journal Articles Books and Chapters Software Components Authors JEL codes New Economics Papers Advanced Search. Measurement and Evaluation Using Value-at-Risk Don Bredin Obfuscate 'ucd. And measure and evaluate the performance of a number of Value-at-Risk VaR methods using a portfolio based on using foreign exchange exposure of a small open economy Ireland among its trading partners. The sample period highlights the changing nature of Ireland's exposure to risk over the past decade in evaluation run-up to EMU. Our results offer an indication of using level of accuracy of the various approaches and discuss the issues of models ensuring statistical accuracy or more conservative leanings. Our and suggest that the Orthogonal GARCH model is the most accurate methodology while the EWMA specification is the more conservative approach. Copyright Blackwell Publishers Ltd, Add references value-at-risk CitEc Citations View citations value-at-risk EconPapers 1 Track citations by RSS feed Measurement Measurement and Evaluation using Value-at-Risk This item may be available elsewhere in EconPapers: Search for items with the same title. This journal article can be ordered from http: Is measurement work missing from RePEc? Here is forex to contribute. Check the EconPapers FAQ or send mail to Obfuscate 'oru. This site is part of RePEc and all forex data displayed here is part of the Evaluation data set. EconPapers Home About EconPapers Working Papers Journal Articles Books and Chapters Software Components Authors Risk codes New Risk Papers Advanced Search EconPapers FAQ Archive maintainers FAQ Cookies at EconPapers Format for printing The RePEc blog The RePEc plagiarism page.
VaR (Value at Risk), explained
VaR (Value at Risk), explained
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