About: Innovations at financial markets: How to model higher moments of portfolio distribution

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Financial markets are subject to permanent innovations, which concerns introduction of new products as well as organizational innovation. Through these innovations new risks arise and the modeling starts to be very challenging. Moreover, since financial institutions play a key role in financial systems the importance of sound risk measuring and modeling techniques is stressed further. In this paper, we suggest an ordinary copula with Lévy marginals based approach for estimation of market risk of financial institutions international portfolio in line with both Basel II/Solvency II approach and internal rating based approach. We observe that although elliptical (ie. symmetric) copula functions with stressed tails allows very good fitting for daily data, there is still some error in the estimation of the overall capital requirement as based on ten days or one year horizon. Financial markets are subject to permanent innovations, which concerns introduction of new products as well as organizational innovation. Through these innovations new risks arise and the modeling starts to be very challenging. Moreover, since financial institutions play a key role in financial systems the importance of sound risk measuring and modeling techniques is stressed further. In this paper, we suggest an ordinary copula with Lévy marginals based approach for estimation of market risk of financial institutions international portfolio in line with both Basel II/Solvency II approach and internal rating based approach. We observe that although elliptical (ie. symmetric) copula functions with stressed tails allows very good fitting for daily data, there is still some error in the estimation of the overall capital requirement as based on ten days or one year horizon. (en)
Title	Innovations at financial markets: How to model higher moments of portfolio distribution Innovations at financial markets: How to model higher moments of portfolio distribution (en)
skos:prefLabel	Innovations at financial markets: How to model higher moments of portfolio distribution Innovations at financial markets: How to model higher moments of portfolio distribution (en)
skos:notation	RIV/61989100:27510/10:10225491!RIV11-GA0-27510___
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(GA402/08/1237), S
http://linked.open...iv/cisloPeriodika	12
http://linked.open...vai/riv/dodaniDat	2011
http://linked.open...aciTvurceVysledku	Kresta, Aleš Tichý, Tomáš Petrová, Ingrid
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
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	264086
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/10:10225491
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	risk measuring; ordinary elliptical copula function; multidimensional subordinated Lévy model; Financial institutions (en)
http://linked.open.../riv/klicoveSlovo	ordinary elliptical copula function Financial institutions multidimensional subordinated Lévy model risk measuring
http://linked.open...odStatuVydavatele	UA - Ukrajina
http://linked.open...ontrolniKodProRIV	[53BA48B5CE74]
http://linked.open...i/riv/nazevZdroje	Actual Problems of Economics
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	3 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...vavai/riv/projekt	Application of complex Lévy processes in modeling of financial assets prices
http://linked.open...UplatneniVysledku	2010
http://linked.open...v/svazekPeriodika	2
http://linked.open...iv/tvurceVysledku	Kresta, Aleš Tichý, Tomáš Petrová, Ingrid
issn	1993-6788
number of pages	14 (xsd:int)
http://localhost/t...ganizacniJednotka	27510

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