Real-time Monitoring of Financial Risks - Estimation of Exchange Rate Deviation and Measurement of Value at Risk

Author: Zhou Aimin, Liu Naiyue
Publisher:
Publish Date: 2001-07-01
Features:
Impact theory and countermeasures against impact
The impact of financial crises, prevention, and causes
Methods for preventing hedge fund impact
A framework for the actual measurement of relative exchange rate overvaluation
Autoregressive Value at Risk (CAVAR)
Empirical measurement of price bubbles and efficiency in financial markets
Measurement methods for relative exchange rate estimation bias
DEA relative efficiency of financial institutions
Comparison of statistical inference between E-VAR and S-VAR
The book introduces and recommends concepts such as impact, overvaluation, exchange rate overvaluation, exchange rate overestimation, exchange rate efficiency, exchange rate bubbles, as well as the measurement and testing of stock market efficiency and price bubbles, and various methods for calculating Value at Risk (VAR). These are both the authors' recent learning insights and a higher-level summary based on their published articles in recent years. The content is largely the new developments in financial theory since the 1980s, and readers will surely feel the shock brought by this book. This shock comes from the mathematical analysis methods at the forefront of modern financial theory. The book's content is rich and diverse, introducing many new concepts, models, and methods in the field of modern financial theory, such as impact, overvaluation, exchange rate bias, and Value at Risk (VAR). It is an invaluable reference for graduate students in economics and finance, as well as a must-read for researchers and decision-makers in practical working departments.