About: The risk of a small currency portfolio and backtesting results by copula approach

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	For financial institutions, foreign exchange (FX) rates commonly constitute the most important part of the market risk. In order to assess the risk of opened position various models can be used. However, since real FX returns exhibit higher than normal kurtosis and since the very far tails of the distribution should also be measured, the Monte Carlo simulation of multidimensional L'evy processes seems to be the most efficient approach. In this paper we apply two basic copula functions to connect multidimensional Lévy models and provide a model for portfolio probability distribution. Next, VaR (and AVaR) is calculated and the backtesting procedure is carried out. For financial institutions, foreign exchange (FX) rates commonly constitute the most important part of the market risk. In order to assess the risk of opened position various models can be used. However, since real FX returns exhibit higher than normal kurtosis and since the very far tails of the distribution should also be measured, the Monte Carlo simulation of multidimensional L'evy processes seems to be the most efficient approach. In this paper we apply two basic copula functions to connect multidimensional Lévy models and provide a model for portfolio probability distribution. Next, VaR (and AVaR) is calculated and the backtesting procedure is carried out. (en)
Title	The risk of a small currency portfolio and backtesting results by copula approach The risk of a small currency portfolio and backtesting results by copula approach (en)
skos:prefLabel	The risk of a small currency portfolio and backtesting results by copula approach The risk of a small currency portfolio and backtesting results by copula approach (en)
skos:notation	RIV/61989100:27510/09:00018530!RIV11-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	2011
http://linked.open...aciTvurceVysledku	Tichý, Tomáš
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
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	339421
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/09:00018530
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	FX rate portfolio, multidimensional Lévy models, VaR, AVaR, backtesting. (en)
http://linked.open.../riv/klicoveSlovo	VaR multidimensional Lévy models AVaR FX rate portfolio backtesting.
http://linked.open...ontrolniKodProRIV	[B237297B4033]
http://linked.open...v/mistoKonaniAkce	Bratislava
http://linked.open...i/riv/mistoVydani	Bratislava
http://linked.open...i/riv/nazevZdroje	Aplimat - 8th international conference
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (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	2009
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open...ain/vavai/riv/wos	000272790800036
http://linked.open.../riv/zahajeniAkce	2009-02-03 (xsd:date)
number of pages	10 (xsd:int)
http://purl.org/ne...btex#hasPublisher	University of Technology in Bratislava
https://schema.org/isbn	978-80-89313-31-0
http://localhost/t...ganizacniJednotka	27510

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