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  • Market risk is an inherent part of riskmanagement of financial institutions. More importantly, for internationally active banks or insurance companies, the FX rate risk is probably the most important part. In this paper we make further contribution to the analysis of subordinated Lévy models coupled together by copula functions, see Tichý (2010) – more particularly, increasing the number of scenarios we analyze, whether the maximal likelihood approach or methods of moments provide better results.
  • Market risk is an inherent part of riskmanagement of financial institutions. More importantly, for internationally active banks or insurance companies, the FX rate risk is probably the most important part. In this paper we make further contribution to the analysis of subordinated Lévy models coupled together by copula functions, see Tichý (2010) – more particularly, increasing the number of scenarios we analyze, whether the maximal likelihood approach or methods of moments provide better results. (en)
Title
  • Market risk backtesting by ordinary Lévy copula model.
  • Market risk backtesting by ordinary Lévy copula model. (en)
skos:prefLabel
  • Market risk backtesting by ordinary Lévy copula model.
  • Market risk backtesting by ordinary Lévy copula model. (en)
skos:notation
  • RIV/61989100:27510/11:86079354!RIV13-MSM-27510___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • S
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
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  • 210693
http://linked.open...ai/riv/idVysledku
  • RIV/61989100:27510/11:86079354
http://linked.open...riv/jazykVysledku
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  • Market risk – backtesting – Lévy model – copula approach (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [1DB05E543ACC]
http://linked.open...v/mistoKonaniAkce
  • Hradec Králové
http://linked.open...i/riv/mistoVydani
  • Hradec Králové
http://linked.open...i/riv/nazevZdroje
  • Hradec Economic Days 2011 : economic development and management of regions : the international conference : peer-reviewed conference proceedings. Part II
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Kresta, Aleš
  • Tichý, Tomáš
http://linked.open...vavai/riv/typAkce
http://linked.open...ain/vavai/riv/wos
  • 000310711700028
http://linked.open.../riv/zahajeniAkce
number of pages
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  • Gaudeamus
https://schema.org/isbn
  • 978-80-7435-101-3
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  • 27510
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