Short-Term Investment Risk Measurement Using VaR and CVaR

  • Virgilijus Sakalauskas
  • Dalia Kriksciuniene
Part of the Lecture Notes in Computer Science book series (LNCS, volume 3994)


The article studies the short-term investment risk in currency market. We present the econometric model for measuring the market risk using Value at Risk (VaR) and conditional VaR (CVaR). Our main goals are to examine the risk of hourly time intervals and propose to use seasonal decomposition for calculation of the corresponding VaR and CVaR values. The suggested method is tested using empirical data with long position EUR/USD exchange hourly rate.


Risk Evaluation Econometric Model Market Risk Currency Market Financial Instrument 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2006

Authors and Affiliations

  • Virgilijus Sakalauskas
    • 1
  • Dalia Kriksciuniene
    • 1
  1. 1.Department of InformaticsVilnius UniversityKaunasLithuania

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