{
  "annotation_id": "895989dc-448d-4285-84a1-c376558addea",
  "date_created": "2026-03-02T18:01:11.272000Z",
  "date_modified": "2026-03-02T18:01:11.272000Z",
  "file_hash": "051cf40332a1baa80ff1e5b5c6a5be6ac493a88753ac307e9d11f245da4ee962",
  "private": false,
  "record": {
    "abstract": "The aim of this paper is to determine the Value at Risk (VaR) of the\nportfolio consisting of long positions in foreign currencies on an emerging\nmarket. Basing on empirical data we restrict ourselves to the case when the\ntail parts of distributions of logarithmic returns of these assets follow the\npower laws and the lower tail of associated copula C follows the power law of\ndegree 1. We will illustrate the practical usefulness of this approach by the\nanalysis of the exchange rates of EUR and CHF at the Polish forex market.",
    "arxiv_id": "physics/0608190",
    "authors": [
      "Piotr Jaworski"
    ],
    "categories": [
      "physics.soc-ph",
      "q-fin.RM"
    ],
    "journal_ref": "Acta Phys. Pol. B 37, 3005 (2006)",
    "title": "On Value at Risk for foreign exchange rates - the copula approach",
    "url": "https://arxiv.org/abs/physics/0608190"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "a02466d2-3a74-45d0-a49e-9b09149eada5",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}