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rdf:type
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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 tests to backtesting procedure due to Kupiec, Christoffersen and Haas are applied on a portfolio sensitive to equity and FX rate risk. In particular details, we focus on NIG model and its variants due to various time spans used for parameter estimation. 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 tests to backtesting procedure due to Kupiec, Christoffersen and Haas are applied on a portfolio sensitive to equity and FX rate risk. In particular details, we focus on NIG model and its variants due to various time spans used for parameter estimation. We document a significant improvement of such tail risk models on several portfolio positions. (en)
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Title
| - Some results on foreign equity portfolio risk backtesting via Lévy ordinary copula model
- Some results on foreign equity portfolio risk backtesting via Lévy ordinary copula model (en)
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skos:prefLabel
| - Some results on foreign equity portfolio risk backtesting via Lévy ordinary copula model
- Some results on foreign equity portfolio risk backtesting via Lévy ordinary copula model (en)
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skos:notation
| - RIV/61989100:27510/12:86083107!RIV13-MSM-27510___
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http://linked.open...avai/riv/aktivita
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http://linked.open...avai/riv/aktivity
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http://linked.open...iv/cisloPeriodika
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http://linked.open...vai/riv/dodaniDat
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http://linked.open...aciTvurceVysledku
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http://linked.open.../riv/druhVysledku
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http://linked.open...iv/duvernostUdaju
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http://linked.open...titaPredkladatele
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http://linked.open...dnocenehoVysledku
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http://linked.open...ai/riv/idVysledku
| - RIV/61989100:27510/12:86083107
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http://linked.open...riv/jazykVysledku
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http://linked.open.../riv/klicovaSlova
| - backtesting, market risk, model validation, subordinated Lévy model, ordinary elliptical copula function (en)
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http://linked.open.../riv/klicoveSlovo
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http://linked.open...odStatuVydavatele
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http://linked.open...ontrolniKodProRIV
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http://linked.open...i/riv/nazevZdroje
| - Journal of Competitiveness
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http://linked.open...in/vavai/riv/obor
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http://linked.open...ichTvurcuVysledku
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http://linked.open...cetTvurcuVysledku
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http://linked.open...vavai/riv/projekt
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http://linked.open...UplatneniVysledku
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http://linked.open...v/svazekPeriodika
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http://linked.open...iv/tvurceVysledku
| - Kresta, Aleš
- Tichý, Tomáš
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issn
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number of pages
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http://localhost/t...ganizacniJednotka
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