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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| Format: | Thesis |
| Language: | English |
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2008
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| Online Access: | http://hdl.handle.net/10356/7844 |