From: Foreign exchange trading and management with the stochastic dual dynamic programming method
Currency | Policy | Mean | Median | Volatility | \(VaR_{99\% }\) | \(CVaR_{99\% }\) |
---|---|---|---|---|---|---|
USDCLP \(S_{0} = 800.0\) | RN1 | 798.3 (â 0.2) | 798.7 | 4.6 | 806.3 | 810.7 (1.3) |
RA0.8 | 799.3 (â 0.1) | 799 | 2.6 | 804.2 | 805.3 (0.7) | |
B1 | 796.6 (â 0.4) | 797.7 | 3.9 | 800 | 800.0 (0.0) | |
B2 | 801.2 (0.1) | 800.8 | 3.8 | 810.9 | 812.0 (1.5) | |
NH | 802.8 (0.4) | 801.8 | 8.9 | 821.9 | 824.0 (3.0) | |
USDBRL \(S_{0} = 5.5\) | RN1 | 5.4798 (â 0.4) | 5.4879 | 0.0537 | 5.5647 | 5.5792 (1.4) |
RA0.8 | 5.4989 (â 0.0) | 5.4985 | 0.0049 | 5.5108 | 5.5163 (0.3) | |
B1 | 5.4602 (â 0.7) | 5.4742 | 0.0477 | 5.5000 | 5.5000 (0.0) | |
B2 | 5.5137 (0.2) | 5.5088 | 0.0458 | 5.6345 | 5.6511 (2.7) | |
NH | 5.5353 (0.6) | 5.5214 | 0.1065 | 5.7787 | 5.808 (5.6) | |
USDTRY \(S_{0} = 10.0\) | RN1 | 9.9595 (â 0.4) | 9.9948 | 0.1660 | 10.2397 | 10.4491 (4.5) |
RA0.7 | 9.9920 (â 0.1) | 9.9940 | 0.0919 | 10.1888 | 10.3897 (3.9) | |
B1 | 9.9007 (â 1.0) | 9.9690 | 0.1595 | 10.0000 | 10.0000 (0.0) | |
B2 | 10.0349 (0.3) | 10.0058 | 0.1326 | 10.4577 | 10.5451 (5.5) | |
NH | 10.0923 (0.9) | 10.0086 | 0.3211 | 11.0052 | 11.1607 (11.6) | |
AUDUSD \(S_{0} = 0.7\) | RN1 | 0.6986 (â 0.2) | 0.6990 | 0.0061 | 0.7139 | 0.7198 (2.8) |
RA0.8 | 0.6994 (â 0.1) | 0.6994 | 0.0038 | 0.7092 | 0.7160 (2.3) | |
B1 | 0.6961 (â 0.6) | 0.6974 | 0.0049 | 0.7000 | 0.7000 (0.0) | |
B2 | 0.7013 (0.2) | 0.7008 | 0.0046 | 0.7140 | 0.7160 (2.3) | |
NH | 0.7033 (0.5) | 0.7018 | 0.0107 | 0.7294 | 0.7327 (4.7) | |
GBPUSD \(S_{0} = 1.0\) | RN1 | 0.9983 (â 0.2) | 0.9989 | 0.0055 | 1.0079 | 1.0111 (1.1) |
RA0.7 | 0.9998 (â 0.0) | 0.9996 | 0.0014 | 1.0035 | 1.0060 (0.6) | |
B1 | 0.9961 (â 0.4) | 0.9974 | 0.0047 | 1.0000 | 1.0000 (0.0) | |
B2 | 1.0013 (0.1) | 1.0008 | 0.0044 | 1.0131 | 1.0147 (1.5) | |
NH | 1.0031 (0.3) | 1.0018 | 0.0103 | 1.0268 | 1.0297 (3.0) | |
EURUSD \(S_{0} = 1.5\) | RN1 | 1.4975 (â 0.2) | 1.4990 | 0.0064 | 1.5054 | 1.5063 (0.4) |
RA0.7 | 1.4997 (â 0.0) | 1.4996 | 0.0016 | 1.5021 | 1.5031 (0.2) | |
B1 | 1.4959 (â 0.3) | 1.4979 | 0.0057 | 1.5000 | 1.5000 (0.0) | |
B2 | 1.5017 (0.1) | 1.5010 | 0.0053 | 1.5143 | 1.5153 (1.0) | |
NH | 1.5040 (0.3) | 1.5019 | 0.0126 | 1.5283 | 1.5308 (2.1) | |
USDJPY \(S_{0} = 105.0\) | RN1 | 104.8 (â 0.2) | 105.0 | 0.6 | 105.3 | 105.3 (0.3) |
RA0.8 | 104.8 (â 0.1) | 104.9 | 0.5 | 105.3 | 105.3 (0.3) | |
B1 | 104.7 (â 0.3) | 104.9 | 0.5 | 105.0 | 105.0 (0.0) | |
B2 | 105.2 (0.1) | 105.1 | 0.5 | 106.4 | 106.5 (1.4) | |
NH | 105.4 (0.4) | 105.1 | 1.1 | 107.8 | 108.1 (2.9) |