The discussion about foreign exchange risk measurement in the light of VaR and ES method from Extreme Value Theory

This article is aiming at measuring the RMB exchange rate risk against five major currencies in the approach of VaR method and ES method based on the Extreme Value Theory. The authors find that VaR and ES value based on POT model can always have better effectiveness in the case of higher market volatility and confidence level, and on the other hand, the VaR and ES value cannot show better effectiveness in the case of smaller market volatility and lower confidence level.