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rdf:type
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Description
| - The publication is focused on a methodological review of financial risk models and their backtesting. Selected applications covers various data types, model definitions and parameter estimation. A special attention is focused on a modern tool of financial modeling, the Lévy processes, ie. any continuous-time process that starts at zero, can consists of jum ps (although, it is cadlag) and corresponds to infinitely divisible probability distribution. It follows that such group of processes is very broad. However, specific features of some examples allows very efficient risk estimation.
- The publication is focused on a methodological review of financial risk models and their backtesting. Selected applications covers various data types, model definitions and parameter estimation. A special attention is focused on a modern tool of financial modeling, the Lévy processes, ie. any continuous-time process that starts at zero, can consists of jum ps (although, it is cadlag) and corresponds to infinitely divisible probability distribution. It follows that such group of processes is very broad. However, specific features of some examples allows very efficient risk estimation. (en)
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Title
| - Backtesting of VaR-based models: Methodological review and selected applications
- Backtesting of VaR-based models: Methodological review and selected applications (en)
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skos:prefLabel
| - Backtesting of VaR-based models: Methodological review and selected applications
- Backtesting of VaR-based models: Methodological review and selected applications (en)
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skos:notation
| - RIV/61989100:27510/13:86086857!RIV14-GA0-27510___
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http://linked.open...avai/riv/aktivita
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http://linked.open...avai/riv/aktivity
| - P(ED1.1.00/02.0070), P(EE2.3.20.0296), P(GA13-13142S), S
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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/61989100:27510/13:86086857
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http://linked.open...riv/jazykVysledku
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http://linked.open.../riv/klicovaSlova
| - selected applications; methodological review; VaR-based models; Backtesting (en)
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http://linked.open.../riv/klicoveSlovo
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http://linked.open...ontrolniKodProRIV
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http://linked.open...i/riv/mistoVydani
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http://linked.open...vEdiceCisloSvazku
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http://linked.open...i/riv/nazevZdroje
| - Backtesting of VaR-based models: Methodological review and selected applications
|
http://linked.open...in/vavai/riv/obor
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http://linked.open...ichTvurcuVysledku
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http://linked.open...v/pocetStranKnihy
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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...iv/tvurceVysledku
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number of pages
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http://purl.org/ne...btex#hasPublisher
| - Vysoká škola báňská - Technická univerzita Ostrava
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https://schema.org/isbn
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http://localhost/t...ganizacniJednotka
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