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A Monetary Union In East Asia: What Does The Common Cycles Approach Tell?, K Sato, David E. Allen, Zhaoyong Zhang
A Monetary Union In East Asia: What Does The Common Cycles Approach Tell?, K Sato, David E. Allen, Zhaoyong Zhang
Research outputs pre 2011
There is controversy about whether a monetary union is feasible in the East Asian region. Amongst the criteria for establishing a monetary union, most of the existing studies focus on the symmetric issue of fundamental shocks and the extent of correlations by applying the Blanchard and Quah (1989) structural vector autoregression (VAR) technique, which includes the firstdifferenced variables in the model and examines only bilateral relationships. When forming a monetary union, the member countries need to renounce their monetary policy autonomy. If shocks to respective economies are symmetric, the cost of relinquishing the discretionary monetary policy is likely to be …
Thoughts On Var And Cvar, David E. Allen, Robert J. Powell
Thoughts On Var And Cvar, David E. Allen, Robert J. Powell
Research outputs pre 2011
Value at Risk (VaR) is an important issue for banks since its adoption as a primary risk metric in the Basel Accords and the requirement that it is calculated on a daily basis. VaR calculates maximum expected losses over a given time period at a given tolerance level. Conditional Value at Risk (CVaR) measures extreme risk. It calculates the risk beyond VaR. Relative industry risk measurement is also very important to Banks in their management of risk, such as for setting risk concentration limits and developing investment and credit policy. This paper examines market Value at Risk (VaR) and Conditional …