About: Some additional results on single position backtesting

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	With respect to ever-changing conditions at the market, regulators of financial markets ask financial institutions to test the performance of risk models (e.g. VaR, cVaR) regularly. A common way how to assess the quality of the model is to run the so called backtesting procedure. It involves several tests, such as Kupiec test, several tests due to Christoferssen or Haas test. In this contribution we specifically focus on comparison of NIG model, a representative of Lévy models, and (filtered) historical simulation accompanied with GARCH-type variance process. The results obtained on time series of S&P 500 since 1950 show us important similarities of NIG model and approach based on filtered historical simulation, though the former seems to be more stable for various probability levels. With respect to ever-changing conditions at the market, regulators of financial markets ask financial institutions to test the performance of risk models (e.g. VaR, cVaR) regularly. A common way how to assess the quality of the model is to run the so called backtesting procedure. It involves several tests, such as Kupiec test, several tests due to Christoferssen or Haas test. In this contribution we specifically focus on comparison of NIG model, a representative of Lévy models, and (filtered) historical simulation accompanied with GARCH-type variance process. The results obtained on time series of S&P 500 since 1950 show us important similarities of NIG model and approach based on filtered historical simulation, though the former seems to be more stable for various probability levels. (en)
Title	Some additional results on single position backtesting Some additional results on single position backtesting (en)
skos:prefLabel	Some additional results on single position backtesting Some additional results on single position backtesting (en)
skos:notation	RIV/61989100:27510/13:86086860!RIV14-GA0-27510___
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), P(GP13-18300P), S
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Kresta, Aleš 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	106298
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/13:86086860
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Monte Carlo simulation, historical simulation, GARCH, NIG model, VaR (en)
http://linked.open.../riv/klicoveSlovo	GARCH historical simulation NIG model VaR Monte Carlo simulation
http://linked.open...ontrolniKodProRIV	[4443340C2A83]
http://linked.open...v/mistoKonaniAkce	Zlín
http://linked.open...i/riv/mistoVydani	Zlín
http://linked.open...i/riv/nazevZdroje	Finance and the Performance of Firms in Science, Education and Practice : proceedings of the 6th international scientific conference : April 25-26, 2013, Zlín, Czech Republic
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...vavai/riv/projekt	Opportunities for young researchers Modelování finančních časových řad a odhad rizika IT4Innovations Centre of Excellence
http://linked.open...UplatneniVysledku	2013
http://linked.open...iv/tvurceVysledku	Kresta, Aleš Tichý, Tomáš
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2013-04-25 (xsd:date)
number of pages	10 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Univerzita Tomáše Bati ve Zlíně
https://schema.org/isbn	978-80-7454-246-6
http://localhost/t...ganizacniJednotka	27510

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