forex markets in India by computing transfer entropy between daily data series of the 50 stock index of the National Stock Exchange of India Limited, viz., Nifty and the exchange rate of Indian Rupee vis-à-vis US Dollar, viz., Reserve Bank of India reference rate. The entire period—November 1995 to March 2007—selected for the study, has been divided into three sub-periods for the purpose ... Value-at-Risk (VaR) has been widely promoted by the Bank for International Settlement (BIS) as well as central banks of all countries as a way of monitoring and managing market risk and as a basis for setting regulatory minimum capital standards. The revised Basle Accord, implemented in January 1998, makes it mandatory for banks to use VaR as a basis for determining the amount of regulatory ... Golaka C. Nath, Y.V. Reddy, Value at Risk: Issues and Implementation in Forex Market in India, SSRN Electronic Journal, 10.2139/ssrn.474141, (2003). Crossref Implementing Value at Risk Value‐at‐Risk (VaR) is widely used as a tool for measuring the market risk of asset portfolios. However, alternative VaR implementations are known to yield fairly different VaR forecasts. Hence, every use of VaR requires choosing among alternative forecasting models. This paper undertakes two case studies in model selection, for the S&P 500 ... Value at Risk: Issues and Implementation in Forex Market in India. Article. Dec 2003 ; Golaka C. Nath. Y.V. Reddy. Value-at-Risk (VaR) has been widely promoted by the Bank for International ... In the Forex market, the price of the currencies increases and decreases rapidly based on many economic and political factors such as commercial balance, the growth index, the inflation rate, and the employment indicators. Having a good strategy to buy and sell can make a profit from the above changes. A successful strategy in Forex should take into consideration the relation between benefits ... Market Risk, Value-at-Risk, VaR Models . 3. Value at Risk: Issues and Implementation in Forex Market in India. Number of pages: 26 Posted: 03 Dec 2003. Golaka C. Nath and Y. V. Reddy. Clearing Corporation of India and Goa University - Department of Commerce Downloads 850 (30,830) Citation 1. View PDF; Download; Abstract: Market Risk, Value-at-Risk, VaR Models. 4. Integration between Forex and ...
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