Currency Hedge Strategy Using Value at Risk
Date Issued
2007
Date
2007
Author(s)
Chang, Kuan-I
DOI
zh-TW
Abstract
Abstract
With trend of various derivatives financial markets, it is more difficult then before to estimate the assets return. Value at Risk（VaR）is an emerging tool of risk management. In several risk indicators, VaR show the probability loss of asset by money or return rate to quantify risk. It makes risk simply and clearly to understand.
With more and more research about VaR, there are several model for estimating VaR including Delta-Normal Method, Monte Carlo Simulation Method, Historical Simulation Method.
Although the estimate of VaR become more important, there are still many hedge found managers use standard deviation to measure risk, and use the minimize-variance strategy to hedge. In this paper, the method of taking VaR into hedge strategy will be introduced, and the model which is used to estimate VaR and the volatility of assets will also be discussed.
In the sample test, the data comes out from 11 developed countries’ monetary history. They are compared with method of the hedge ratio, performance and statistic of daily return by minimize-variance, minimize-CVaR and minimize-VaR hedgy strategy. The static hedge method for in the sample data and dynamic hedge method for out of sample data are two methods adopted to come out conclusions.
Subjects
避險策略
風險值
條件風險值
歷史模擬法
Hedge Stratgy
Value at Risk
Condtional Value at Risk
History simulation method
Type
thesis
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