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Socio-Economics

Towards Understanding the Sources of Risk in Exchange Rates

Irina zviadadze

Nationality Russian

Year of selection 2010

Institution London Business School

Country United Kingdom

Risk Socio-Economics

Ph.D

3 years

120000 €

Regular and Crash Risks in Foreign Exchange

Irina Zviadadze studies regular and crash risks in global foreign exchange (FX) market. The first part of the project is a joint work with Professor Mikhail Chernov (LSE) and Professor Jeremy Graveline (Minnesota). Authors are interested in quantifying sources of risks in currency returns as a first step towards understanding excess returns to currency speculation. They identify three distinct types of jump (crash) risks – depreciation jumps, appreciation jumps and jumps in variance, and relate them to important macroeconomic and political news in case of jumps in the level of exchange rate and to market anxiety in case of jumps in variance. In the future research, Irina aims to provide economic explanation of Foreign exchange anomalies by identifyng sources of crash risks in a structural setting.

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