Foreign Exchange Exposure model – FOREX Optimization Model and Simulation DLL Documentation

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Authors
  1. Adamsson, J.
  2. Desmier, P.E.
Corporate Authors
Defence R&D Canada - Centre for Operational Research and Analysis, Ottawa ON (CAN);Directorate Materiel Group Operational Research, Ottawa Ont (CAN)
Abstract
The Foreign Exchange Exposure Model (FOREX) was designed and built as two separate components, that when integrated provide the user with full functionality in determining Value-at-Risk (VaR) results for a variety of account transactions and foreign exchanges. This contract report describes the optimization module component.

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Keywords
Strategic Finance;Autobox;Box-Jenkins;Foreign Exchange Exposure;FOREX;GARCH;Generalized Autoregressive Conditional Heteroskedasticity;Maximum Likelihood Estimation;MLE;Value at Risk;VaR
Report Number
DRDC-CORA-CR-2010-232 — Contractor Report
Date of publication
01 Nov 2010
Number of Pages
50
DSTKIM No
CA034741
CANDIS No
534287
Format(s):
Electronic Document(PDF)

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