About: Backtesting of portfolio risk in terms of ordinary Lévy copula model.

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The soundness of risk monitoring and measuring systems 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 – due to Kupiec and Christoffersen – are applied on two market risk models, Brownian motion and Lévy NIG model for marginal distribution joined either by Gaussian or Student copula function to get the portfolio distribution. In particular, a portfolio sensitive to equity and FX rate risk. We document a significant improvement of such tail risk models on several portfolio positions. The soundness of risk monitoring and measuring systems 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 – due to Kupiec and Christoffersen – are applied on two market risk models, Brownian motion and Lévy NIG model for marginal distribution joined either by Gaussian or Student copula function to get the portfolio distribution. In particular, a portfolio sensitive to equity and FX rate risk. We document a significant improvement of such tail risk models on several portfolio positions. (en)
Title	Backtesting of portfolio risk in terms of ordinary Lévy copula model. Backtesting of portfolio risk in terms of ordinary Lévy copula model. (en)
skos:prefLabel	Backtesting of portfolio risk in terms of ordinary Lévy copula model. Backtesting of portfolio risk in terms of ordinary Lévy copula model. (en)
skos:notation	RIV/61989100:27510/11:86079356!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	187744
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/11:86079356
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	backtesting, market risk, model validation, subordinated Lévy model, ordinary elliptical copula function (en)
http://linked.open.../riv/klicoveSlovo	backtesting market risk model validation ordinary elliptical copula function subordinated Lévy model
http://linked.open...ontrolniKodProRIV	[FA3C1B6D7917]
http://linked.open...v/mistoKonaniAkce	Zlín
http://linked.open...i/riv/mistoVydani	Zlín
http://linked.open...i/riv/nazevZdroje	Finance and the Performance of Firms in Science, Education and Practice : proceedings of the 5th international scientific conference
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	Kresta, Aleš Tichý, Tomáš
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open...ain/vavai/riv/wos	000306544000028
http://linked.open.../riv/zahajeniAkce	2011-04-28 (xsd:date)
number of pages	8 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Univerzita Tomáše Bati ve Zlíně. Fakulta managementu a ekonomiky
https://schema.org/isbn	978-80-7454-020-2
http://localhost/t...ganizacniJednotka	27510

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