Simulated stress testing on asian currencies.
Events like the recent Asian financial crisis had triggered an urgent need for the development of simple and reliable stress testing models that did not require extensive subjective judgment. Kupiec(1998) proposed such a model based on historical covariance and volatilities. This paper, with the mai...
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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2008
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| Online Access: | http://hdl.handle.net/10356/7844 |
| _version_ | 1811697219545333760 |
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| author | Chan, Inn Leng. |
| author2 | Tan, Kok Hui |
| author_facet | Tan, Kok Hui Chan, Inn Leng. |
| author_sort | Chan, Inn Leng. |
| collection | NTU |
| description | Events like the recent Asian financial crisis had triggered an urgent need for the development of simple and reliable stress testing models that did not require extensive subjective judgment. Kupiec(1998) proposed such a model based on historical covariance and volatilities. This paper, with the main intention of developing a model that could possibly facilitate future research on stress testing of non-linear instruments, adapted the Monte-Carlo simulation methodology to Kupiec's model. In addition, both models were further adapted to account for fat tails in the returns distribution. All four models were tested on a portfolio of highly stressed Asian currencies for their reliability and robustness. |
| first_indexed | 2024-10-01T07:51:47Z |
| format | Thesis |
| id | ntu-10356/7844 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T07:51:47Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-10356/78442024-01-12T10:29:15Z Simulated stress testing on asian currencies. Chan, Inn Leng. Tan, Kok Hui Nanyang Business School DRNTU::Business::Finance::Risk management DRNTU::Business::Finance::Money Events like the recent Asian financial crisis had triggered an urgent need for the development of simple and reliable stress testing models that did not require extensive subjective judgment. Kupiec(1998) proposed such a model based on historical covariance and volatilities. This paper, with the main intention of developing a model that could possibly facilitate future research on stress testing of non-linear instruments, adapted the Monte-Carlo simulation methodology to Kupiec's model. In addition, both models were further adapted to account for fat tails in the returns distribution. All four models were tested on a portfolio of highly stressed Asian currencies for their reliability and robustness. Master of Business 2008-09-18T07:52:08Z 2008-09-18T07:52:08Z 2000 2000 Thesis http://hdl.handle.net/10356/7844 en Nanyang Technological University 58 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Risk management DRNTU::Business::Finance::Money Chan, Inn Leng. Simulated stress testing on asian currencies. |
| title | Simulated stress testing on asian currencies. |
| title_full | Simulated stress testing on asian currencies. |
| title_fullStr | Simulated stress testing on asian currencies. |
| title_full_unstemmed | Simulated stress testing on asian currencies. |
| title_short | Simulated stress testing on asian currencies. |
| title_sort | simulated stress testing on asian currencies |
| topic | DRNTU::Business::Finance::Risk management DRNTU::Business::Finance::Money |
| url | http://hdl.handle.net/10356/7844 |
| work_keys_str_mv | AT chaninnleng simulatedstresstestingonasiancurrencies |