The Empirical Performance of Option Based Densities of Foreign Exchange PDF Download
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Author: Ben R. Craig
Publisher:
ISBN:
Category :
Languages : en
Pages : 41
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Book Description
Risk neutral densities (R ...
Author: Ben R. Craig
Publisher:
ISBN:
Category :
Languages : en
Pages : 41
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Book Description
Risk neutral densities (R ...
Author: Balázs Égert
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 68
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Book Description
Author: Romain Lafarguette
Publisher: International Monetary Fund
ISBN: 1513569406
Category : Business & Economics
Languages : en
Pages : 33
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Book Description
This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico’s FXIs data between 2008 and 2016.
Author: Michael D. Bordo
Publisher:
ISBN:
Category : Foreign exchange administration
Languages : en
Pages : 108
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Book Description
Author: Stefania P. S. Rossi
Publisher:
ISBN:
Category : Bank management
Languages : en
Pages : 56
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Book Description
Author: Thi Le
Publisher: Springer Nature
ISBN: 3030712427
Category : Business & Economics
Languages : en
Pages : 350
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Book Description
This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most acceptable data levels. It provides reliable intraday data supporting financial investment decisions across different assets classes and instruments consisting of commodities, derivatives, equities, fixed income and foreign exchange. This book emphasises four key areas, (1) estimating intraday implied volatility using ultra-high frequency (5-minutes frequency) currency options to capture traders' trading behaviour, (2) computing realised volatility based on 5-minute frequency currency price to obtain speculators' speculation attitude, (3) examining the ability of implied volatility to subsume market information through forecasting realised volatility and (4) evaluating the predictive power of implied volatility for pricing currency options. This is a must-read for academics and professionals who want to improve their skills and outcomes in trading options.
Author: Martin Schneider
Publisher:
ISBN:
Category : Austria
Languages : en
Pages : 48
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Book Description
Author: Fabio Rumler
Publisher:
ISBN:
Category : European Union countries
Languages : en
Pages : 56
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Book Description
Author: Sylvia Kaufmann
Publisher:
ISBN:
Category : Credit
Languages : en
Pages : 68
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Book Description
Author: Evelyn Hayden
Publisher:
ISBN:
Category : Bank profits
Languages : en
Pages : 48
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Book Description
