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| 02097nam 2200301za 4500 |
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| 001 | 9.807315 |
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| 003 | CaOODSP |
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| 005 | 20240219183354 |
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| 007 | cr ||||||||||| |
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| 008 | 150723s2014 oncd ob f000 0 eng d |
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| 040 | |aCaOODSP|beng |
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| 041 | |aeng|bfre |
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| 043 | |an-cn--- |
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| 086 | 1 |aD68-2/62-2014E-PDF |
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| 100 | 1 |aMaybury, David W. |
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| 245 | 10|aForeign exchange value-at-risk with multiple currency exposure |h[electronic resource] : |ba multivariate and copula generalized autoregressive conditional heteroskedasticity approach / |cDavid W. Maybury. |
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| 260 | |a[Ottawa] : |bDefence Research and Development Canada, |c2014. |
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| 300 | |aviii, 42, [2] p. : |bfig., graphs, tables. |
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| 490 | 1 |aScientific report ; |v2014-R62 |
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| 500 | |aNovember 2014. |
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| 504 | |aIncludes bibliographical references. |
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| 520 | |aLarge DND projects and acquisitions are exposed to more than one foreign currency at the same time which complicates management’s foreign exchange risk assessments. The Centre for Operational Research and Analysis’ (CORA) in-house Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models are extended to a full multivariate setting. The extensions involve two models types: multivariate GARCH and copula-GARCH. It was found that both models give qualitatively similar value-at-risk (VaR) estimates, and that both models provide a much improved risk assessment relative to the current practice – correcting VaR estimates on the order of 25% in cases in which multiple currency exposures are of similar size. Using the USDCAD, the EURCAD, and the GBPCAD, estimation techniques for each model are demonstrated. Finally, the strength of the improved models are shown through a 100-day VaR calculation. |
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| 692 | 07|2gccst|aPurchasing |
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| 692 | 07|2gccst|aForeign payments |
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| 692 | 07|2gccst|aRisk management |
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| 710 | 2 |aDefence R&D Canada. |
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| 830 | #0|aScientific report (Defence R&D Canada)|v2014-R62|w(CaOODSP)9.802305 |
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| 856 | 40|qPDF|s861 KB|uhttps://publications.gc.ca/collections/collection_2015/rddc-drdc/D68-2-62-2014-eng.pdf |
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