Estimating the Extreme Financial Risk of the Kenyan Shilling Versus Us Dollar Exchange Rates

Charles Kithenge Chege; Joseph Kyalo Mungat’u; Oscar Ngesa

doi:doi:10.11648/j.sjams.20160406.11

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Estimating the Extreme Financial Risk of the Kenyan Shilling Versus Us Dollar Exchange Rates

Charles Kithenge Chege, Joseph Kyalo Mungat’u, Oscar Ngesa

Published in Science Journal of Applied Mathematics and Statistics (Volume 4, Issue 6)

Received: 1 September 2016 Accepted: 23 September 2016 Published: 14 October 2016

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Abstract

In the last decade, world financial markets, including the Kenyan market have been characterized by significant instabilities. This has resulted to criticism on available risk management systems and motivated research on better methods capable of identifying rare events that have resulted in heavy consequences. With the high volatility of the Kenyan Shilling/Us dollar exchange rates, it is important to come up with a more reliable method of evaluating the financial risk associated with such financial data. In the recent past, extensive research has been carried out to analyze extreme variations that financial markets are subject to, mostly because of currency crises, stock market crashes and large credit defaults. We considered the behavior of the tails of financial series. More specially was focus on the use of extreme value theory to assess tail-related risk; we thus aim at providing a modeling tool for modern risk management. Extreme Value Theory provides a theoretical foundation on which we can build statistical models describing extreme events. This will help in predictability of such future rare events.

Published in	Science Journal of Applied Mathematics and Statistics (Volume 4, Issue 6)
DOI	10.11648/j.sjams.20160406.11
Page(s)	249-255
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2016. Published by Science Publishing Group

Keywords

Extreme Value Theory (EVT), Generalized Pareto Distribution (GPD), Peaks-Over-Threshold (POT)

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APA Style

Charles Kithenge Chege, Joseph Kyalo Mungat’u, Oscar Ngesa. (2016). Estimating the Extreme Financial Risk of the Kenyan Shilling Versus Us Dollar Exchange Rates. Science Journal of Applied Mathematics and Statistics, 4(6), 249-255. https://doi.org/10.11648/j.sjams.20160406.11

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ACS Style

Charles Kithenge Chege; Joseph Kyalo Mungat’u; Oscar Ngesa. Estimating the Extreme Financial Risk of the Kenyan Shilling Versus Us Dollar Exchange Rates. Sci. J. Appl. Math. Stat. 2016, 4(6), 249-255. doi: 10.11648/j.sjams.20160406.11

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AMA Style

Charles Kithenge Chege, Joseph Kyalo Mungat’u, Oscar Ngesa. Estimating the Extreme Financial Risk of the Kenyan Shilling Versus Us Dollar Exchange Rates. Sci J Appl Math Stat. 2016;4(6):249-255. doi: 10.11648/j.sjams.20160406.11

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@article{10.11648/j.sjams.20160406.11,
  author = {Charles Kithenge Chege and Joseph Kyalo Mungat’u and Oscar Ngesa},
  title = {Estimating the Extreme Financial Risk of the Kenyan Shilling Versus Us Dollar Exchange Rates},
  journal = {Science Journal of Applied Mathematics and Statistics},
  volume = {4},
  number = {6},
  pages = {249-255},
  doi = {10.11648/j.sjams.20160406.11},
  url = {https://doi.org/10.11648/j.sjams.20160406.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.sjams.20160406.11},
  abstract = {In the last decade, world financial markets, including the Kenyan market have been characterized by significant instabilities. This has resulted to criticism on available risk management systems and motivated research on better methods capable of identifying rare events that have resulted in heavy consequences. With the high volatility of the Kenyan Shilling/Us dollar exchange rates, it is important to come up with a more reliable method of evaluating the financial risk associated with such financial data. In the recent past, extensive research has been carried out to analyze extreme variations that financial markets are subject to, mostly because of currency crises, stock market crashes and large credit defaults. We considered the behavior of the tails of financial series. More specially was focus on the use of extreme value theory to assess tail-related risk; we thus aim at providing a modeling tool for modern risk management. Extreme Value Theory provides a theoretical foundation on which we can build statistical models describing extreme events. This will help in predictability of such future rare events.},
 year = {2016}
}

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TY  - JOUR
T1  - Estimating the Extreme Financial Risk of the Kenyan Shilling Versus Us Dollar Exchange Rates
AU  - Charles Kithenge Chege
AU  - Joseph Kyalo Mungat’u
AU  - Oscar Ngesa
Y1  - 2016/10/14
PY  - 2016
N1  - https://doi.org/10.11648/j.sjams.20160406.11
DO  - 10.11648/j.sjams.20160406.11
T2  - Science Journal of Applied Mathematics and Statistics
JF  - Science Journal of Applied Mathematics and Statistics
JO  - Science Journal of Applied Mathematics and Statistics
SP  - 249
EP  - 255
PB  - Science Publishing Group
SN  - 2376-9513
UR  - https://doi.org/10.11648/j.sjams.20160406.11
AB  - In the last decade, world financial markets, including the Kenyan market have been characterized by significant instabilities. This has resulted to criticism on available risk management systems and motivated research on better methods capable of identifying rare events that have resulted in heavy consequences. With the high volatility of the Kenyan Shilling/Us dollar exchange rates, it is important to come up with a more reliable method of evaluating the financial risk associated with such financial data. In the recent past, extensive research has been carried out to analyze extreme variations that financial markets are subject to, mostly because of currency crises, stock market crashes and large credit defaults. We considered the behavior of the tails of financial series. More specially was focus on the use of extreme value theory to assess tail-related risk; we thus aim at providing a modeling tool for modern risk management. Extreme Value Theory provides a theoretical foundation on which we can build statistical models describing extreme events. This will help in predictability of such future rare events.
VL  - 4
IS  - 6
ER  -

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Author Information

Charles Kithenge Chege

Applied Statistics, Department of Statistics and Actuarial Science, Jomo Kenyatta University of Agriculture and Technology, Nairobi, Kenya
Joseph Kyalo Mungat’u

Statistics, Department of Statistics and Actuarial Science, Jomo Kenyatta University of Agriculture and Technology, Nairobi, Kenya
Oscar Ngesa

Applied Statistics, Department of Statistics and Actuarial Science, Jomo Kenyatta University of Agriculture and Technology, Nairobi, Kenya

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Plain Text BibTeX RIS

APA Style

Charles Kithenge Chege, Joseph Kyalo Mungat’u, Oscar Ngesa. (2016). Estimating the Extreme Financial Risk of the Kenyan Shilling Versus Us Dollar Exchange Rates. Science Journal of Applied Mathematics and Statistics, 4(6), 249-255. https://doi.org/10.11648/j.sjams.20160406.11

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ACS Style

Charles Kithenge Chege; Joseph Kyalo Mungat’u; Oscar Ngesa. Estimating the Extreme Financial Risk of the Kenyan Shilling Versus Us Dollar Exchange Rates. Sci. J. Appl. Math. Stat. 2016, 4(6), 249-255. doi: 10.11648/j.sjams.20160406.11

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AMA Style

Charles Kithenge Chege, Joseph Kyalo Mungat’u, Oscar Ngesa. Estimating the Extreme Financial Risk of the Kenyan Shilling Versus Us Dollar Exchange Rates. Sci J Appl Math Stat. 2016;4(6):249-255. doi: 10.11648/j.sjams.20160406.11

Copy | Download

@article{10.11648/j.sjams.20160406.11,
  author = {Charles Kithenge Chege and Joseph Kyalo Mungat’u and Oscar Ngesa},
  title = {Estimating the Extreme Financial Risk of the Kenyan Shilling Versus Us Dollar Exchange Rates},
  journal = {Science Journal of Applied Mathematics and Statistics},
  volume = {4},
  number = {6},
  pages = {249-255},
  doi = {10.11648/j.sjams.20160406.11},
  url = {https://doi.org/10.11648/j.sjams.20160406.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.sjams.20160406.11},
  abstract = {In the last decade, world financial markets, including the Kenyan market have been characterized by significant instabilities. This has resulted to criticism on available risk management systems and motivated research on better methods capable of identifying rare events that have resulted in heavy consequences. With the high volatility of the Kenyan Shilling/Us dollar exchange rates, it is important to come up with a more reliable method of evaluating the financial risk associated with such financial data. In the recent past, extensive research has been carried out to analyze extreme variations that financial markets are subject to, mostly because of currency crises, stock market crashes and large credit defaults. We considered the behavior of the tails of financial series. More specially was focus on the use of extreme value theory to assess tail-related risk; we thus aim at providing a modeling tool for modern risk management. Extreme Value Theory provides a theoretical foundation on which we can build statistical models describing extreme events. This will help in predictability of such future rare events.},
 year = {2016}
}

Copy | Download

TY  - JOUR
T1  - Estimating the Extreme Financial Risk of the Kenyan Shilling Versus Us Dollar Exchange Rates
AU  - Charles Kithenge Chege
AU  - Joseph Kyalo Mungat’u
AU  - Oscar Ngesa
Y1  - 2016/10/14
PY  - 2016
N1  - https://doi.org/10.11648/j.sjams.20160406.11
DO  - 10.11648/j.sjams.20160406.11
T2  - Science Journal of Applied Mathematics and Statistics
JF  - Science Journal of Applied Mathematics and Statistics
JO  - Science Journal of Applied Mathematics and Statistics
SP  - 249
EP  - 255
PB  - Science Publishing Group
SN  - 2376-9513
UR  - https://doi.org/10.11648/j.sjams.20160406.11
AB  - In the last decade, world financial markets, including the Kenyan market have been characterized by significant instabilities. This has resulted to criticism on available risk management systems and motivated research on better methods capable of identifying rare events that have resulted in heavy consequences. With the high volatility of the Kenyan Shilling/Us dollar exchange rates, it is important to come up with a more reliable method of evaluating the financial risk associated with such financial data. In the recent past, extensive research has been carried out to analyze extreme variations that financial markets are subject to, mostly because of currency crises, stock market crashes and large credit defaults. We considered the behavior of the tails of financial series. More specially was focus on the use of extreme value theory to assess tail-related risk; we thus aim at providing a modeling tool for modern risk management. Extreme Value Theory provides a theoretical foundation on which we can build statistical models describing extreme events. This will help in predictability of such future rare events.
VL  - 4
IS  - 6
ER  -

Copy | Download