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Description
| - Financial services can be regarded as very innovative. Banks, insurance companies and other financial institutions offer new products to potential clients virtually every day. However, new products bring also new kinds of risks. Obviously, a different risk type indicates a need for distinct methods of risk modeling, measuring and managing. In this paper, we try to identify – on the basis of a backtesting procedure and utilizing various tests of exceptions in the risk estimation – the efficiency of a particular model with respect to a given security. In this context we try to identify, if there is any important difference/similarity of particular assets in question and/or which kind of test seems to be the most useful. With respect of that we analyze foreign exchange rate and stock positions by evaluating a large set of tests. The results can be interesting for financial policy evaluation and can also help the financial institutions in the internal risk management process.
- Financial services can be regarded as very innovative. Banks, insurance companies and other financial institutions offer new products to potential clients virtually every day. However, new products bring also new kinds of risks. Obviously, a different risk type indicates a need for distinct methods of risk modeling, measuring and managing. In this paper, we try to identify – on the basis of a backtesting procedure and utilizing various tests of exceptions in the risk estimation – the efficiency of a particular model with respect to a given security. In this context we try to identify, if there is any important difference/similarity of particular assets in question and/or which kind of test seems to be the most useful. With respect of that we analyze foreign exchange rate and stock positions by evaluating a large set of tests. The results can be interesting for financial policy evaluation and can also help the financial institutions in the internal risk management process. (en)
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Title
| - The implication of the security type for efficient risk measuring
- The implication of the security type for efficient risk measuring (en)
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skos:prefLabel
| - The implication of the security type for efficient risk measuring
- The implication of the security type for efficient risk measuring (en)
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skos:notation
| - RIV/61989100:27510/11:86079311!RIV13-MSM-27510___
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http://linked.open...avai/predkladatel
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http://linked.open...avai/riv/aktivita
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http://linked.open...avai/riv/aktivity
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http://linked.open...iv/cisloPeriodika
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http://linked.open...vai/riv/dodaniDat
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http://linked.open...aciTvurceVysledku
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http://linked.open.../riv/druhVysledku
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http://linked.open...iv/duvernostUdaju
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http://linked.open...titaPredkladatele
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http://linked.open...dnocenehoVysledku
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http://linked.open...ai/riv/idVysledku
| - RIV/61989100:27510/11:86079311
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http://linked.open...riv/jazykVysledku
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http://linked.open.../riv/klicovaSlova
| - Financial risk, risk estimation, capital requirement, backtesting, Lévy models, variance gamma model (en)
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http://linked.open.../riv/klicoveSlovo
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http://linked.open...odStatuVydavatele
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http://linked.open...ontrolniKodProRIV
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http://linked.open...i/riv/nazevZdroje
| - Actual Problems of Economics
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http://linked.open...in/vavai/riv/obor
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http://linked.open...ichTvurcuVysledku
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http://linked.open...cetTvurcuVysledku
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http://linked.open...UplatneniVysledku
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http://linked.open...v/svazekPeriodika
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http://linked.open...iv/tvurceVysledku
| - Cielepová, Gabriela
- Tichý, Tomáš
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issn
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number of pages
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http://localhost/t...ganizacniJednotka
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is http://linked.open...avai/riv/vysledek
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