About: Dependency models for a small FX rate sensitive portfolio

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The main focus of this chapter is to present the simplest approaches to the dependency modelling of subordinated Lévy models and apply them in order to estimate the probability distribution of returns of a small portfolio sensitive to the evolution of FX rates. We start with the motivation for the use of advanced stochastic processes within the market risk modelling. Next, we briefly review several basic facts that lie behind the theory of subordinated Lévy models, namely the Variance gamma model and the Normal inverse Gaussian model. After that, several ways to model the dependency among particular sources of randomness are proposed. Finally, the ability of selected models to fit the probability distribution of a small FX rate sensitive portfolio is examined. We study mainly the measures of the overall risk (left quantiles, VaR) and higher moments of the distribution (skewness and kurtosis). The main focus of this chapter is to present the simplest approaches to the dependency modelling of subordinated Lévy models and apply them in order to estimate the probability distribution of returns of a small portfolio sensitive to the evolution of FX rates. We start with the motivation for the use of advanced stochastic processes within the market risk modelling. Next, we briefly review several basic facts that lie behind the theory of subordinated Lévy models, namely the Variance gamma model and the Normal inverse Gaussian model. After that, several ways to model the dependency among particular sources of randomness are proposed. Finally, the ability of selected models to fit the probability distribution of a small FX rate sensitive portfolio is examined. We study mainly the measures of the overall risk (left quantiles, VaR) and higher moments of the distribution (skewness and kurtosis). (en)
Title	Dependency models for a small FX rate sensitive portfolio Dependency models for a small FX rate sensitive portfolio (en)
skos:prefLabel	Dependency models for a small FX rate sensitive portfolio Dependency models for a small FX rate sensitive portfolio (en)
skos:notation	RIV/61989100:27510/08:00018527!RIV13-GA0-27510___
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(GA402/08/1237)
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Tichý, Tomáš
http://linked.open.../riv/druhVysledku	C - Kapitola v knize
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	362529
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/08:00018527
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Dependency, FX rate, Lévy models, unique subordinator (en)
http://linked.open.../riv/klicoveSlovo	Lévy models FX rate Dependency unique subordinator
http://linked.open...ontrolniKodProRIV	[9D0714AA79C3]
http://linked.open...i/riv/mistoVydani	Cambridge
http://linked.open...i/riv/nazevZdroje	Consequences of the European Monetary Integration on Financial Systems
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...v/pocetStranKnihy	295 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Application of complex Lévy processes in modeling of financial assets prices
http://linked.open...UplatneniVysledku	2008
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš
number of pages	20 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Cambridge Scholars Press
https://schema.org/isbn	978-1-4438-0068-6
http://localhost/t...ganizacniJednotka	27510

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