Comparing riskiness of exchange rate volatility using the Value at Risk and Expected Shortfall methods
This paper uses theValue at Risk (VaR) and the Expected Shortfall (ES) to compare the riskiness of the two currency exchange rate volatility, namely BitCoin against the US dollar (BTC/USD) and the South African Rand against the US dollar (ZAR/USD). The risks calculated are tail-related measures, so...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
LLC "CPC "Business Perspectives"
2022-07-01
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| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/16722/IMFI_2022_02_Ndlovu.pdf |