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Description
| - The soundness of risk monitoring and measuring system is a key point for the reliability of financial institutions. One of the features of a reliable risk model is that it passes a backtesting procedure - a comparison of the one step ahead risk estimation and a true loss occurred on a given day - without any troubles. Within this paper, basic methods of backtesting procedure are reviewed, including their pros and cons. Next, several approaches are applied on a case of equally weighted normalized FX rate sensitive portfolio. It is documented that both applied tests can provide different recommendations for the model.
- The soundness of risk monitoring and measuring system is a key point for the reliability of financial institutions. One of the features of a reliable risk model is that it passes a backtesting procedure - a comparison of the one step ahead risk estimation and a true loss occurred on a given day - without any troubles. Within this paper, basic methods of backtesting procedure are reviewed, including their pros and cons. Next, several approaches are applied on a case of equally weighted normalized FX rate sensitive portfolio. It is documented that both applied tests can provide different recommendations for the model. (en)
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Title
| - Risk estimation for FX rates: basic backt techniques with some application
- Risk estimation for FX rates: basic backt techniques with some application (en)
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skos:prefLabel
| - Risk estimation for FX rates: basic backt techniques with some application
- Risk estimation for FX rates: basic backt techniques with some application (en)
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skos:notation
| - RIV/61989100:27510/10:10225532!RIV13-GA0-27510___
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http://linked.open...avai/riv/aktivita
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http://linked.open...avai/riv/aktivity
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http://linked.open...vai/riv/dodaniDat
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http://linked.open...aciTvurceVysledku
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http://linked.open.../riv/druhVysledku
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http://linked.open...iv/duvernostUdaju
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http://linked.open...titaPredkladatele
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http://linked.open...dnocenehoVysledku
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http://linked.open...ai/riv/idVysledku
| - RIV/61989100:27510/10:10225532
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http://linked.open...riv/jazykVysledku
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http://linked.open.../riv/klicovaSlova
| - FX rate portfolio, multidimensional Lévy model, VG, NIG, VaR, AVaR, backtesting. (en)
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http://linked.open.../riv/klicoveSlovo
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http://linked.open...ontrolniKodProRIV
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http://linked.open...v/mistoKonaniAkce
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http://linked.open...i/riv/mistoVydani
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http://linked.open...i/riv/nazevZdroje
| - Řízení a modelování finančních rizik : sborník příspěvků z 5. mezinárodní vědecké konference : 8.-9. září 2010, Ostrava, Česká republika
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http://linked.open...in/vavai/riv/obor
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http://linked.open...ichTvurcuVysledku
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http://linked.open...cetTvurcuVysledku
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http://linked.open...vavai/riv/projekt
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http://linked.open...UplatneniVysledku
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http://linked.open...iv/tvurceVysledku
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http://linked.open...vavai/riv/typAkce
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http://linked.open...ain/vavai/riv/wos
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http://linked.open.../riv/zahajeniAkce
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number of pages
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http://purl.org/ne...btex#hasPublisher
| - Vysoká škola báňská - Technická univerzita Ostrava
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https://schema.org/isbn
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http://localhost/t...ganizacniJednotka
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