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I have a Forex trading account with a base currency USD. I am holding a position in EUR/JPY and would like to estimate my daily VaR. If I compute the EUR/JPY returns

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the Forex rates than those of the Forex themselves. Stock prices and Forex rates are correlated. Figure 1 plots three Forex rates (EUR/JPY,

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Various methods are possible to compute Value-at-Risk. These methods basically differ by: - distributional assumptions for the risk factors (e.g. normal versus other

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