Please use this identifier to cite or link to this item:
Title: Simulated stress testing on asian currencies.
Authors: Chan, Inn Leng.
Keywords: DRNTU::Business::Finance::Risk management
Issue Date: 2000
Abstract: 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.
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Theses

Files in This Item:
File Description SizeFormat 
  Restricted Access
13.14 MBAdobe PDFView/Open

Google ScholarTM


Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.