The exchange rate risk of Chinese yuan: Using VaR and ES based on extreme value theory

DOI10.1080/02664760902846114OpenAlexW2033045806MaRDI QIDQ5123515

Chao Chen, Zongrun Wang, Yanju Zhou, Wei-Tao Wu

Publication date: 29 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760902846114

zbMATH Keywords

extreme value theoryvalue-at-riskexpected shortfallhistorical simulationvariance-covariance

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• RiskMetrics

Cites Work

• Unnamed Item
• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• Coherent Measures of Risk
• COMPARATIVE ANALYSES OF EXPECTED SHORTFALL AND VALUE-AT-RISK(Special Issue on Theory, Methodology and Applications in Financial Engneering)

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