About: Some findings about risk estimation and backtesting at the world FX rate market

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Financial markets are very sensitive to all kinds of risk. Immediately after any unexpected announcement the volatility of price returns is suddenly increased and market prices can potentially fall down. However, the announcement can influence prices of only some assets, while prices of others may remain relatively stable. It follows that a different risk type indicates a need for distinct methods of risk modelling, measuring and managing. In this paper we continue in our previous research and try to identify if there is any similarity in risk estimation model performance across particular world FX rate markets and provide the most important findings about the (dis)similarities with special attention to (former) transitional economies of Europe and Asia-Pacific regions. In particular, we apply VG and NIG models of marginal distribution for VaR calculation and backtesting and use JPY and USD currencies as examples of global FX rates with potentially low tights to the regional evolution. We show some interesting results about the impact of specific information arrival. Financial markets are very sensitive to all kinds of risk. Immediately after any unexpected announcement the volatility of price returns is suddenly increased and market prices can potentially fall down. However, the announcement can influence prices of only some assets, while prices of others may remain relatively stable. It follows that a different risk type indicates a need for distinct methods of risk modelling, measuring and managing. In this paper we continue in our previous research and try to identify if there is any similarity in risk estimation model performance across particular world FX rate markets and provide the most important findings about the (dis)similarities with special attention to (former) transitional economies of Europe and Asia-Pacific regions. In particular, we apply VG and NIG models of marginal distribution for VaR calculation and backtesting and use JPY and USD currencies as examples of global FX rates with potentially low tights to the regional evolution. We show some interesting results about the impact of specific information arrival. (en)
Title	Some findings about risk estimation and backtesting at the world FX rate market Some findings about risk estimation and backtesting at the world FX rate market (en)
skos:prefLabel	Some findings about risk estimation and backtesting at the world FX rate market Some findings about risk estimation and backtesting at the world FX rate market (en)
skos:notation	RIV/61989100:27510/12:86083109!RIV14-MSM-27510___
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(ED1.1.00/02.0070), S
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	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	169206
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/12:86083109
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Backtesting, FX rate market, information arrival, Lévy models (en)
http://linked.open.../riv/klicoveSlovo	Lévy models Backtesting FX rate market information arrival
http://linked.open...ontrolniKodProRIV	[F004A43055B2]
http://linked.open...v/mistoKonaniAkce	Karviná
http://linked.open...i/riv/mistoVydani	Opava
http://linked.open...i/riv/nazevZdroje	Proceedings of 30th International Conference Mathematical Methods in Economics : 11-13 September 2012, Karviná, Czech Republic
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	IT4Innovations Centre of Excellence
http://linked.open...UplatneniVysledku	2012
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open...ain/vavai/riv/wos	000317528600069
http://linked.open.../riv/zahajeniAkce	2012-09-11 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Slezská univerzita v Opavě
https://schema.org/isbn	978-80-7248-779-0
http://localhost/t...ganizacniJednotka	27510

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