About: Market risk backtesting via Lévy models and parameter estimation

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	It is very important that each risk model is validated, ie. it is verified whether it describes the risk on a given probability level sufficiently or not. One of the most popular methods is the backtesting, ie. utilizing of the past market data. In this paper, we focus on market risk modeling via subordinated Lévy models joined by ordinary elliptical copula functions. Selected combinations of models (geometric Brownian motion, variance gamma model, normal inverse Gaussian model for marginal distribution and Gaussian and Student copula functions for joint distribution) are assumed in order to verify the backtesting power of several combinations of normalized data as a basis for parameter estimation. It is documented that while the (linear) dependency structure is of a short memory, in order to estimate the higher moments (skewness and kurtosis) of the underlying distribution well, longer time series is required. It is very important that each risk model is validated, ie. it is verified whether it describes the risk on a given probability level sufficiently or not. One of the most popular methods is the backtesting, ie. utilizing of the past market data. In this paper, we focus on market risk modeling via subordinated Lévy models joined by ordinary elliptical copula functions. Selected combinations of models (geometric Brownian motion, variance gamma model, normal inverse Gaussian model for marginal distribution and Gaussian and Student copula functions for joint distribution) are assumed in order to verify the backtesting power of several combinations of normalized data as a basis for parameter estimation. It is documented that while the (linear) dependency structure is of a short memory, in order to estimate the higher moments (skewness and kurtosis) of the underlying distribution well, longer time series is required. (en)
Title	Market risk backtesting via Lévy models and parameter estimation Market risk backtesting via Lévy models and parameter estimation (en)
skos:prefLabel	Market risk backtesting via Lévy models and parameter estimation Market risk backtesting via Lévy models and parameter estimation (en)
skos:notation	RIV/61989100:27510/10:10225492!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...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	269696
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/10:10225492
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Backtesting, copula functions, financial institutions, market risk (en)
http://linked.open.../riv/klicoveSlovo	financial institutions market risk Backtesting copula functions
http://linked.open...ontrolniKodProRIV	[CD0BCFEE9338]
http://linked.open...v/mistoKonaniAkce	České Budějovice
http://linked.open...i/riv/mistoVydani	České Budějovice
http://linked.open...i/riv/nazevZdroje	Mathematical Methods in Economics 2010
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	2010
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open...ain/vavai/riv/wos	000287979900107
http://linked.open.../riv/zahajeniAkce	2010-09-08 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	University of South Bohemia
https://schema.org/isbn	978-80-7394-218-2
http://localhost/t...ganizacniJednotka	27510

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