CMMU Faculty Webcast at the Global Assocition of Risk Professionals

Assistant Prof. Dr. Roy Kouwenberg will present his joint research work with Assistant Prof. Dr. Phornchanok Cumperayot (Chulalongkorn University, Faculty of Economics) during a Webcast by the Global Association of Risk Professionals (GARP).

Webcast title:
Early Warning Systems for Currency Crises: A Multivariate Extreme Value Approach
Date: Thursday, February 17, 2011
Time: 11:00am EST (New York), 11:00pm in Bangkok.
The webcast can also be viewed at the GARP website after this date.

http://www.garp.org/resources/research-papers-(ssrn).aspx

Dr. Roy and Dr. Phornchanok will present the results of their research project on the prediction of currency crises, funded the GARP Risk Management Research Program. Currency crises are often preceeded by a wide range of economic vulnerabilities, such as low international reserves, high debt or balance of payments problems. Applying multivariate extreme value theory, this research tests whether currency crises can be predicted using lagged macro-economic and financial variables.
 
Findings to be covered include:
• Nearly all fundamental variables have no relation with extreme exchange rate returns, except for the real interest rate
• Why current early warning systems for currency crises perform poorly out of sample

About GARP www.garp.org:
"The Global Association of Risk Professionals is the globally recognized membership association for risk managers.
GARP sets the global standard in professional designation with the FRM (Financial Risk Manager) and ERP (Energy Risk Professional) certifications"