英文标题：
《Upside and Downside Risk Exposures of Currency Carry Trades via Tail
Dependence》
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作者：
Matthew Ames, Gareth W. Peters, Guillaume Bagnarosa and Ioannis
Kosmidis
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最新提交年份：
2014
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英文摘要：
Currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial puzzle to explain, since assuming foreign exchange risk is uninhibited and the markets have rational risk-neutral investors, then one would not expect profits from such strategies. That is, according to uncovered interest rate parity (UIP), changes in the related exchange rates should offset the potential to profit from such interest rate differentials. However, it has been shown empirically, that investors can earn profits on average by borrowing in a country with a lower interest rate, exchanging for foreign currency, and investing in a foreign country with a higher interest rate, whilst allowing for any losses from exchanging back to their domestic currency at maturity. This paper explores the financial risk that trading strategies seeking to exploit a violation of the UIP condition are exposed to with respect to multivariate tail dependence present in both the funding and investment currency baskets. It will outline in what contexts these portfolio risk exposures will benefit accumulated portfolio returns and under what conditions such tail exposures will reduce portfolio returns.
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中文摘要：
货币套利交易是一种投资策略，包括出售低利率货币以购买高利率货币，从而从利差中获利。这是一个众所周知的金融谜题，因为假设外汇风险是不受限制的，市场上有理性的风险中性投资者，那么人们就不会期望从这些策略中获得利润。也就是说，根据未披露的利率平价（UIP），相关汇率的变化应抵消从此类利率差异中获利的可能性。然而，经验表明，投资者可以通过在利率较低的国家借款、兑换外币和在利率较高的国家投资来赚取平均利润，同时考虑到到期时兑换回本国货币的任何损失。本文探讨了寻求利用违反UIP条件的交易策略所面临的金融风险，即融资和投资货币篮子中存在的多变量尾部依赖。它将概述这些投资组合风险敞口在什么情况下会有利于累积投资组合收益，以及在什么情况下，这种尾部风险敞口会降低投资组合收益。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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