About: SENSITIVITY MODELING OF CAPITAL REQUIREMENTS TO MARKET RISK

Facets (new session)
Description
Metadata
Settings
- owl:sameAs
- Inference Rule:

About: SENSITIVITY MODELING OF CAPITAL REQUIREMENTS TO MARKET RISK Goto Sponge NotDistinct Permalink

An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The recent financial crises resulted into significant increase of volatility of financial assets returns and, more importantly, it also brings many cases of jumps, ie. sudden and huge movements of prices. The crisis spread into particular market segments promptly mainly through the integration of regional markets into one global market place. It is evident especially when we examine the evolution of foreign currency returns, which is probably the segment with the highest liquidity and traded volume of overall financial market. Such a significant growth of realized volatility of market returns should obviously lead to demand of financial institutions on additional capital eligible to cover market risk as it is recognized by supervisor authorities. The aim of this paper is to present an approach based on copula subordinated Lévy model application, which is qualified to give a true picture of increased volatility of market returns, including more than normal kurtosis (i.e. higher peaks and fatter tails) The recent financial crises resulted into significant increase of volatility of financial assets returns and, more importantly, it also brings many cases of jumps, ie. sudden and huge movements of prices. The crisis spread into particular market segments promptly mainly through the integration of regional markets into one global market place. It is evident especially when we examine the evolution of foreign currency returns, which is probably the segment with the highest liquidity and traded volume of overall financial market. Such a significant growth of realized volatility of market returns should obviously lead to demand of financial institutions on additional capital eligible to cover market risk as it is recognized by supervisor authorities. The aim of this paper is to present an approach based on copula subordinated Lévy model application, which is qualified to give a true picture of increased volatility of market returns, including more than normal kurtosis (i.e. higher peaks and fatter tails) (en)
Title	SENSITIVITY MODELING OF CAPITAL REQUIREMENTS TO MARKET RISK SENSITIVITY MODELING OF CAPITAL REQUIREMENTS TO MARKET RISK (en)
skos:prefLabel	SENSITIVITY MODELING OF CAPITAL REQUIREMENTS TO MARKET RISK SENSITIVITY MODELING OF CAPITAL REQUIREMENTS TO MARKET RISK (en)
skos:notation	RIV/61989100:27510/09:00020612!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	340804
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/09:00020612
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	FX rates; portfolio distribution; copula function; Lévy models; capital requirements. (en)
http://linked.open.../riv/klicoveSlovo	Lévy models copula function FX rates capital requirements. portfolio distribution
http://linked.open...ontrolniKodProRIV	[FF53451B8B31]
http://linked.open...v/mistoKonaniAkce	Liberec
http://linked.open...i/riv/mistoVydani	Liberec
http://linked.open...i/riv/nazevZdroje	Liberecké ekonomické fórum
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	000272657000043
http://linked.open.../riv/zahajeniAkce	2009-09-15 (xsd:date)
number of pages	10 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Technická univerzita v Liberci
https://schema.org/isbn	978-80-7372-523-5
http://localhost/t...ganizacniJednotka	27510

Faceted Search & Find service v1.16.118 as of Jun 21 2024

Alternative Linked Data Documents: ODE Content Formats:

RDF

ODATA

Microdata

About

OpenLink Virtuoso version 07.20.3240 as of Jun 21 2024, on Linux (x86_64-pc-linux-gnu), Single-Server Edition (126 GB total memory, 48 GB memory in use)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2024 OpenLink Software