About: International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions

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About: International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions Goto Sponge NotDistinct Permalink

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Financial risk modeling and management are very important and challenging tasks for financial institutions’ quantitative units. Owing to the complex nature of portfolios, and given recent financial market developments, contemporary research is focused on tail modeling and/or dependency modeling. The main objective of this paper is to examine the potential contribution of Lévy-based subordinated models coupled by ordinary elliptical copula functions to the estimation of the distribution pattern of international equity portfolios. The authors observe that the subordinated NIG model coupled with the Student copula function, and in particular its combined estimation version, allows them to get very good estimates of portfolio risk measures. Financial risk modeling and management are very important and challenging tasks for financial institutions’ quantitative units. Owing to the complex nature of portfolios, and given recent financial market developments, contemporary research is focused on tail modeling and/or dependency modeling. The main objective of this paper is to examine the potential contribution of Lévy-based subordinated models coupled by ordinary elliptical copula functions to the estimation of the distribution pattern of international equity portfolios. The authors observe that the subordinated NIG model coupled with the Student copula function, and in particular its combined estimation version, allows them to get very good estimates of portfolio risk measures. (en)
Title	International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions (en)
skos:prefLabel	International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions (en)
skos:notation	RIV/61989100:27510/12:86082981!RIV13-MSM-27510___
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...iv/cisloPeriodika	2
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Kresta, Aleš Tichý, Tomáš
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
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	142443
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/12:86082981
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	VaR; subordinated Lévy model; backtesting; market risk (en)
http://linked.open.../riv/klicoveSlovo	backtesting market risk subordinated Lévy model VaR
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[2C9CBF2F2FAF]
http://linked.open...i/riv/nazevZdroje	Finance a úvěr - Czech Journal of Economics and Finance
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	2012
http://linked.open...v/svazekPeriodika	62
http://linked.open...iv/tvurceVysledku	Kresta, Aleš Tichý, Tomáš
http://linked.open...ain/vavai/riv/wos	000303969200004
issn	0015-1920
number of pages	21 (xsd:int)
http://localhost/t...ganizacniJednotka	27510

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