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

Authors

  • Agnieszka Bukietyńska Wyższa Szkoła Bankowa we Wrocławiu
  • Mariusz Czekała Wyższa Szkoła Bankowa we Wrocławiu

DOI:

https://doi.org/10.29015/cerem.230

Keywords:

Swiss franc, Polish zloty, order statistics, domain of attraction, fat tails, distribution of maximum

Abstract

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.

References

. David, H.A., Nagaraja, H.N., Order Statistics, Wiley & Sons, New Jersey, 2003

. Feller, W., Wstęp do rachunku prawdopodobieństwa, PWN, Warszawa, 1978

. Galambos, J., The Asymptotic Theory of Extreme Order Ststistics, Wiley & Sons, New York, 1978

. Horowitz, Extreme values from a nonstationary stochastic process. An application to air quality analysis. Technometrics, 1980

. Reiss, R.D, Thomas, M., Statistical Analysis of Extreme Values, Birkhauser, 2007

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Published

2016-10-15

Issue

Vol. 16 No. 3 (2016): Applicability of quantitative methods to economics, finance, and management

Section

Articles

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