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Exchange Rate Risk Exposure Related to Public Debt Portfolio of Pakistan: Application of Value-at-Risk Approaches
Farhan Akbar / Thierry Chauveau
foreign exchange / market riskResource overview

Exchange Rate Risk Exposure Related to Public Debt Portfolio of Pakistan: Application of Value-at-Risk Approaches

Paper2009

by Farhan Akbar, Thierry Chauveau

Tags
foreign exchangemarket riskrisk management

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  1. Random Variables and Distributions

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  2. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

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  1. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

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