About: Some results on sensitivity modeling of market risk via Lévy models

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Description	A significant portion of risk exposure of internationally active financial institutions is created by currencies, ie. positions exposed to foreign exchange (FX) rates. The FX rate market can be regarded as a very efficient one. The arrival of extraordinary information into the market results into relatively huge and sudden movements, usually approximated by measures of kurtosis and skewness. A very challenging family of processes, allowing us to capture these features is a so called Lévy family of processes. In this paper we select two subordinated Lévy models, coupled together either by Gaussian or Student copula to depict the dependency among particular risk drivers, and look more closely at the sensitivity of capital requirement/economic capital to the input parameters, ie. kurtosis, skewness, standard deviation, and degrees of freedom (for Student copula) We found out several interesting results, mainly that skewness play almost no role within the models assumed here, as opposed to, e.g. variance. A significant portion of risk exposure of internationally active financial institutions is created by currencies, ie. positions exposed to foreign exchange (FX) rates. The FX rate market can be regarded as a very efficient one. The arrival of extraordinary information into the market results into relatively huge and sudden movements, usually approximated by measures of kurtosis and skewness. A very challenging family of processes, allowing us to capture these features is a so called Lévy family of processes. In this paper we select two subordinated Lévy models, coupled together either by Gaussian or Student copula to depict the dependency among particular risk drivers, and look more closely at the sensitivity of capital requirement/economic capital to the input parameters, ie. kurtosis, skewness, standard deviation, and degrees of freedom (for Student copula) We found out several interesting results, mainly that skewness play almost no role within the models assumed here, as opposed to, e.g. variance. (en)
Title	Some results on sensitivity modeling of market risk via Lévy models Some results on sensitivity modeling of market risk via Lévy models (en)
skos:prefLabel	Some results on sensitivity modeling of market risk via Lévy models Some results on sensitivity modeling of market risk via Lévy models (en)
skos:notation	RIV/61989100:27510/09:00020610!RIV10-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	2010
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	342385
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/09:00020610
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Capital adequacy; sensitivity. FX rates; Lévy models (en)
http://linked.open.../riv/klicoveSlovo	Capital adequacy Lévy models sensitivity. FX rates
http://linked.open...ontrolniKodProRIV	[8818624E9D78]
http://linked.open...v/mistoKonaniAkce	Ostrava
http://linked.open...i/riv/mistoVydani	Ostrava
http://linked.open...i/riv/nazevZdroje	Sborník příspěvků ze 7. mezinárodní vědecké konference Finanční řízení podniků a finančních institucí
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.../riv/zahajeniAkce	2009-09-09 (xsd:date)
number of pages	9 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Vysoká škola báňská-Technická univerzita, Ekonomická fakulta
https://schema.org/isbn	978-80-248-2059-0
http://localhost/t...ganizacniJednotka	27510

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