Record Details

EXTREME STATISTICS IN THE ANALYSIS OF THE EXCHANGE RATE VOLATILITY OF CHF/PLN

The Central European Review of Economics and Management

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Title EXTREME STATISTICS IN THE ANALYSIS OF THE EXCHANGE RATE VOLATILITY OF CHF/PLN
Wykorzystanie statystyk pozycyjnych do analizy kredytów we frankach szwajcarskich
 
Creator Bukietyńska, Agnieszka
Czekała, Mariusz
 
Subject —
Swiss franc; Polish zloty; order statistics; domain of attraction; fat tails; distribution of maximum
C13; F31
finanse
Frank szwajcarski, złoty polski, statystyki pozycyjne, obszar przyciągania, grube ogony, rozkład maksimum.
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Description The article presents the analysis of the exchange volatility of the Swiss franc against the Polish złoty (CHF/PLN). This issue has a significant practical relevance. Owing to its considerable volatility, the exchange rate of this currency pair has had a significant impact on the situation of several hundred  thousand of borrowers. In the first decade of this century there were numerous loans (predominantly housing loans) granted which were denominated in Swiss francs. This often causes serious difficulties in debt servicing and can have significant social and economic implications. Therefore, those in power have been seeking to solve this problem in a variety of ways although no solutions has been implemented at the time of sending this paper for publishing.
W pracy rozpatrywano zachowanie pary CHFPLN.  Dla wielu ludzi w Polsce jest to bardzo ważna waluta ponieważ polskie banki właśnie we frankach szwajcarskich udzielały wielu kredytów. W celu zbadania kursu wymiennego wykorzystano elementy teorii statystyk  pozycyjnych .Twierdzenie Bermana daje przydatny wynik w dwóch przypadkach. Natomiast zastosowanie niestacjonarnych  modeli i rozkładu Pareto (grube ogony) nie przyniosło zadowalających rezultatów.
 
Publisher WSB University in Wroclaw Publishing Department
 
Contributor —
Wyższa Szkoła Bankowa we Wrocławiu
 
Date 2016-10-15
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Scientific Article
Artykuł naukowy
 
Format application/pdf
 
Identifier http://ojs.wsb.wroclaw.pl/index.php/WSBRJ/article/view/230
10.29015/cerem.230
 
Source The Central European Review of Economics and Management; Vol 16, No 3 (2016): Applicability of quantitative methods to economics, finance, and management; 203-210
The Central European Review of Economics and Management; Vol 16, No 3 (2016): Applicability of quantitative methods to economics, finance, and management; 203-210
2544-0365
2543-9472
 
Language eng
 
Relation http://ojs.wsb.wroclaw.pl/index.php/WSBRJ/article/view/230/249
 
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