About: International equity risk modeling by NIG model

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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 L\'evy based subordinated NIG model as a tool to estimate the risk of positions in foreign equities. In order to model the joint evolution of equities and FX rates, Student and Gaussian copula functions are assumed, ie.\ marginal distributions in terms of NIG model are joined together. We examine several horizons to estimate the model parameters and evaluate the efficiency of risk measure by backtesting procedure. We also study the effect of particular positions, as well as the impact of single positions on the quality of risk estimation. 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 L\'evy based subordinated NIG model as a tool to estimate the risk of positions in foreign equities. In order to model the joint evolution of equities and FX rates, Student and Gaussian copula functions are assumed, ie.\ marginal distributions in terms of NIG model are joined together. We examine several horizons to estimate the model parameters and evaluate the efficiency of risk measure by backtesting procedure. We also study the effect of particular positions, as well as the impact of single positions on the quality of risk estimation. (en)
Title	International equity risk modeling by NIG model International equity risk modeling by NIG model (en)
skos:prefLabel	International equity risk modeling by NIG model International equity risk modeling by NIG model (en)
skos:notation	RIV/61989100:27510/11:86079336!RIV13-MSM-27510___
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Kresta, Aleš 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	205420
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/11:86079336
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Market risk, equity, FX rate, subordinated model, backtesting (en)
http://linked.open.../riv/klicoveSlovo	backtesting FX rate Market risk subordinated model equity
http://linked.open...ontrolniKodProRIV	[9029F6C9C8DF]
http://linked.open...v/mistoKonaniAkce	Janska Dolina
http://linked.open...i/riv/mistoVydani	Prague
http://linked.open...i/riv/nazevZdroje	Proceedings of the 29th International Conference on Mathematical Methods in Economics 2011 - part I
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...UplatneniVysledku	2011
http://linked.open...iv/tvurceVysledku	Kresta, Aleš Tichý, Tomáš
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open...ain/vavai/riv/wos	000309074600066
http://linked.open.../riv/zahajeniAkce	2011-09-06 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Professional Publishing
https://schema.org/isbn	978-80-7431-058-4
http://localhost/t...ganizacniJednotka	27510

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