Phomchanok Cumperayot

Chulalongkorn University

Faculty of Economics

Bangkok 10330

Thailand

SCHOLARLY PAPERS

4

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Top 29,280

in Total Papers Downloads

1,966

SSRN CITATIONS

5

CROSSREF CITATIONS

5

Scholarly Papers (4)

The Effect of VAR Based Risk Management on Asset Prices and the Volatility Smile

Number of pages: 27 Posted: 15 Apr 2001
Arjan B. Berkelaar, Phomchanok Cumperayot and Roy Kouwenberg
World Bank - Quantitative Strategies, Risk & Analytics Department, Chulalongkorn University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 1,219 (19,463)

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asset pricing, general equilibrium, value-at-risk, risk management

The Effect of VAR Based Risk Management on Asset Prices and the Volatility Smile

Number of pages: 26 Posted: 22 May 2002
Arjan B. Berkelaar, Roy Kouwenberg and Phomchanok Cumperayot
World Bank - Quantitative Strategies, Risk & Analytics Department, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Chulalongkorn University
Downloads 23 (608,853)
Citation 1
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2.

Dusting Off the Perception of Risk and Returns in Forex Markets

Number of pages: 29 Posted: 15 Apr 2003
Phomchanok Cumperayot
Chulalongkorn University
Downloads 451 (76,245)

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Flexible-price and Sluggish-price Exchange Rate Models, Expectation Formations, Macroeconomic Risk, Risk Premium, Asset Pricing

3.

Early Warning Systems for Currency Crises: A Multivariate Extreme Value Approach

Number of pages: 56 Posted: 14 Feb 2011 Last Revised: 17 Aug 2012
Phomchanok Cumperayot and Roy Kouwenberg
Chulalongkorn University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 140 (245,000)
Citation 3

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Currency crises, Crisis prediction, Extreme value theory, Emerging markets

4.

Currency Wars: Who Gains from the Battle?

Number of pages: 44 Posted: 12 Jan 2016
Phomchanok Cumperayot and Roy Kouwenberg
Chulalongkorn University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 133 (255,140)

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Real exchange rate misalignment, Growth, Undervaluation