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Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence
Gareth W. Peters / Guillaume Bagnarosa / Ioannis Kosmidis / Matthew Ames
copulas / foreign exchangeResource overview

Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence

Paper2014

by Gareth W. Peters, Guillaume Bagnarosa, Ioannis Kosmidis, Matthew Ames

Tags
copulasforeign exchangetail risk

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Suggested foundations for risk measurement and stress. Specialist prerequisites vary by paper.

Before you read

  1. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  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

    Compare risk estimators and their assumptions.

  2. Backtesting VaR and ES: Coverage Tests and Model Validation

    Check forecasts against realised losses.

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