The International CAPM and a Wavelet-Based Decomposition of Value at Risk

Topics:
Investment and Capital Markets,
Risk Analysis and Management
Tags:
Decomposition,
Finance,
Investment,
National Bureau Of Economic Research,
Value At Risk
Source:
National Bureau of Economic Research

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Overview: In this paper, the authors formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange-rate risk. In addition, an analytical formula is derived for time-scale value at risk and marginal Value at Risk (VaR) of a portfolio. The methodology is applied to stock indices of seven emerging economies belonging to Latin America and Asia, for the sample period 1990-2004.

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Format: PDF | Size: 1,001KB | Date: May 2006 | Pages: 27

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