Alarming of Exchange Rate Crisis: A Risk Management Approach

2015 ◽  
Author(s):  
Da Zhao ◽  
Tianhao Wu
Keyword(s):  
Risk Management ◽  
Exchange Rate ◽  
Management Approach

scholarly journals Alarming of exchange rate crisis: A risk management approach

2016 ◽  
Vol 6 (2) ◽  
pp. 79-88
Author(s):  
Da Zhao ◽  
Tianhao Wu
Keyword(s):  
Risk Management ◽  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Management Approach ◽  
Exchange Market ◽  
Sample Data ◽  
Out Of Sample ◽  
Exchange Markets ◽  
Development Levels

Recently, with increasing volatility of foreign exchange rate, risk management becomes more and more important not only for multinational companies and individuals but also for central governments. This paper attempts to build an econometrics model so as to forecast and manage risks in foreign exchange market, especially during the eve of turbulent periods. By following McNeil and Frey’s (2000) two stage approach called conditional EVT to estimate dynamic VaR commonly used in stock and insurance markets, we extend it by applying a more general asymmetric ARMA-GARCH model to analyze daily foreign exchange dollar-denominated trading data from four countries of different development levels across Asia and Europe for a period of more than 10 years from January 03, 2005 to May 29, 2015, which is certainly representative of global markets. Conventionally, different kinds of backtesting methods are implemented ultimately to evaluate how well the model behaves. Inspiringly, test results show that by taking several specific characteristics (including fat-tails, asymmetry and long-range dependence) of the foreign exchange market return data into consideration, the violation ratio of out-of-sample data can be forecasted very well for both fixed and flexible foreign exchange regimes. Moreover, all of the violations are evenly distributed along the whole period which indicates another favorable property of our model. Meanwhile, we find evidence of asymmetry volatility in all of the studied foreign exchange markets even though the magnitudes of the most of them are weak.

Il risk management approach nelle Università italiane: prime riflessioni su vincoli e opportunità

2020 ◽  
pp. 111-136
Author(s):  
Manuela Lucchese ◽  
Giuseppe Sannino ◽  
Paolo Tartaglia Polcini
Keyword(s):  
Risk Management ◽  
Management Approach

scholarly journals Applying the water safety plan to water reuse: towards a conceptual risk management framework

2015 ◽  
Vol 1 (5) ◽  
pp. 709-722 ◽  
Author(s):  
D. Goodwin ◽  
M. Raffin ◽  
P. Jeffrey ◽  
H. M. Smith
Keyword(s):  
Risk Management ◽  
Water Reuse ◽  
Management Approach ◽  
Water Safety ◽  
Management Framework ◽  
Risk Management Framework ◽  
Safety Plan ◽  
Research Programmes ◽  
Water Safety Plan ◽  
Guidelines And Standards

The Water Safety Plan (WSP) is receiving increasing attention as a recommended risk management approach for water reuse through a range of research programmes, guidelines and standards.

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