About: Backtesting results and the type of the security

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

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Financial risk modeling and its subsequent management is a very important and no less challenging task of quantitative units of financial institutions. Due to the nature of complex portfolios and based on recent evolution at financial markets, contemporary research is focused either on tails modeling or dependency modeling or both. The main task of this paper is to examine a potential contribution of Lévy based subordinated models as a tool to estimate the risk of particular positions across the world financial markets. Moreover, on the basis of backtesting procedure and utilizing various tests of exceptions in the risk estimation we can analyze the efficiency of a particular model with respect to a given security. In this context we try to identify, if there is any important difference/similarity of particular assets in question and/or which kind of test seems to be the most useful. With respect of that we analyze foreign exchange rate and stock positions by evaluating a large set of tests. Financial risk modeling and its subsequent management is a very important and no less challenging task of quantitative units of financial institutions. Due to the nature of complex portfolios and based on recent evolution at financial markets, contemporary research is focused either on tails modeling or dependency modeling or both. The main task of this paper is to examine a potential contribution of Lévy based subordinated models as a tool to estimate the risk of particular positions across the world financial markets. Moreover, on the basis of backtesting procedure and utilizing various tests of exceptions in the risk estimation we can analyze the efficiency of a particular model with respect to a given security. In this context we try to identify, if there is any important difference/similarity of particular assets in question and/or which kind of test seems to be the most useful. With respect of that we analyze foreign exchange rate and stock positions by evaluating a large set of tests. (en)
Title	Backtesting results and the type of the security Backtesting results and the type of the security (en)
skos:prefLabel	Backtesting results and the type of the security Backtesting results and the type of the security (en)
skos:notation	RIV/61989100:27510/11:86079330!RIV12-MSM-27510___
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...vai/riv/dodaniDat	2012
http://linked.open...aciTvurceVysledku	Cielepová, Gabriela 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	187745
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/11:86079330
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Financial risk, risk estimation, capital requirement, backtesting, Lévy models, variance gamma model (en)
http://linked.open.../riv/klicoveSlovo	Financial risk Lévy models backtesting capital requirement risk estimation variance gamma model
http://linked.open...ontrolniKodProRIV	[30CC9B8FB17A]
http://linked.open...v/mistoKonaniAkce	Liberec, Ekonomická fakulta, TUL
http://linked.open...i/riv/mistoVydani	Liberec
http://linked.open...i/riv/nazevZdroje	Proceedings of the 10th International Conference Liberec Economic Forum 2011
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...UplatneniVysledku	2011
http://linked.open...iv/tvurceVysledku	Cielepová, Gabriela Tichý, Tomáš
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2011-09-19 (xsd:date)
number of pages	9 (xsd:int)
http://purl.org/ne...btex#hasPublisher	TU Liberec
https://schema.org/isbn	978-80-7372-755-0
http://localhost/t...ganizacniJednotka	27510

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