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Guest
When doing Value-at-risk (VAR) for currency exchange, meaning I have a portfolio of $/GBP and $/EUR etc, how do I get go about calculating the VAR?
I have the exchange rates for these currencies for the past 3 months. I'll like to make use of this data.
a) If I'm not wrong, I'll need to find the corelation between the currencies right? How do I do that?
b) How do I go about determining the weights of each currency's VAR in my portfolio?
I have the exchange rates for these currencies for the past 3 months. I'll like to make use of this data.
a) If I'm not wrong, I'll need to find the corelation between the currencies right? How do I do that?
b) How do I go about determining the weights of each currency's VAR in my portfolio?