About: Backtesting results of international portfolio for an insurance company

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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 subject to permanent innovations, which concern introduction of new products as well as organizational innovation. These activities can completely change the risk profile of any entity. By contrast, the risk management target especially on the risk measure estimation in the far tails that can be fit properly only over very long horizons. In this paper, we continue in our previous results and study the ability of selected Lévy models on the basis of subordinator to estimate the market risk measures. In particular, we assume an internationally diversified portfolio from the perspective of an insurance company within Eurozone. Moreover, impact of various estimation windows is analyzed. Financial markets are subject to permanent innovations, which concern introduction of new products as well as organizational innovation. These activities can completely change the risk profile of any entity. By contrast, the risk management target especially on the risk measure estimation in the far tails that can be fit properly only over very long horizons. In this paper, we continue in our previous results and study the ability of selected Lévy models on the basis of subordinator to estimate the market risk measures. In particular, we assume an internationally diversified portfolio from the perspective of an insurance company within Eurozone. Moreover, impact of various estimation windows is analyzed. (en)
Title	Backtesting results of international portfolio for an insurance company Backtesting results of international portfolio for an insurance company (en)
skos:prefLabel	Backtesting results of international portfolio for an insurance company Backtesting results of international portfolio for an insurance company (en)
skos:notation	RIV/61989100:27510/13:86083097!RIV14-MSM-27510___
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(ED1.1.00/02.0070), P(EE2.3.30.0016), S
http://linked.open...iv/cisloPeriodika	2
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Kresta, Aleš Tichý, Tomáš Matušková, Petra
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	62803
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/13:86083097
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Market innovations, risk measure, backtesting, equity portfolio, FX rate (en)
http://linked.open.../riv/klicoveSlovo	Market innovations equity portfolio backtesting FX rate risk measure
http://linked.open...odStatuVydavatele	UA - Ukrajina
http://linked.open...ontrolniKodProRIV	[DCA77D53BE57]
http://linked.open...i/riv/nazevZdroje	Actual Problems of Economics
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	3 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...vavai/riv/projekt	Opportunities for young researchers IT4Innovations Centre of Excellence
http://linked.open...UplatneniVysledku	2013
http://linked.open...v/svazekPeriodika	3
http://linked.open...iv/tvurceVysledku	Kresta, Aleš Tichý, Tomáš Matušková, Petra
issn	1993-6788
number of pages	9 (xsd:int)
http://localhost/t...ganizacniJednotka	27510

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