About: Efficient Risk Models: Application of DEA Approach

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Description	Risk estimation is an important activity of any financial institution. Necessary part of risk estimation is financial time series modelling, which is challenging task due to specific features of financial time series. Suitability of any risk models can be assessed by the so-called backtesting procedure. Applying this procedure we obtain the number of violations, i.e. the cases in which observed loss is higher than estimated risk (mostly measured as VaR). For accurate model the quantity of VaR violations in the long term should converge to the quantity expected. It can be computed as the risk level multiplied by the number of backtesting days. The lower the difference between observed and expected quantities, the more accurate the model is. However, we can assume various risk levels. Then, the selection of the best model will become difficult, or even impossible. However, we can construct the set of efficient models, for example, using a data envelope analysis (DEA) approach. Risk estimation is an important activity of any financial institution. Necessary part of risk estimation is financial time series modelling, which is challenging task due to specific features of financial time series. Suitability of any risk models can be assessed by the so-called backtesting procedure. Applying this procedure we obtain the number of violations, i.e. the cases in which observed loss is higher than estimated risk (mostly measured as VaR). For accurate model the quantity of VaR violations in the long term should converge to the quantity expected. It can be computed as the risk level multiplied by the number of backtesting days. The lower the difference between observed and expected quantities, the more accurate the model is. However, we can assume various risk levels. Then, the selection of the best model will become difficult, or even impossible. However, we can construct the set of efficient models, for example, using a data envelope analysis (DEA) approach. (en)
Title	Efficient Risk Models: Application of DEA Approach Efficient Risk Models: Application of DEA Approach (en)
skos:prefLabel	Efficient Risk Models: Application of DEA Approach Efficient Risk Models: Application of DEA Approach (en)
skos:notation	RIV/61989100:27510/14:86090952!RIV15-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), P(GA13-13142S), P(GP13-18300P), S
http://linked.open...vai/riv/dodaniDat	2015
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	13873
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/14:86090952
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Data Envelope Analysis; VaR violations; risk estimation (en)
http://linked.open.../riv/klicoveSlovo	Data Envelope Analysis VaR violations risk estimation
http://linked.open...ontrolniKodProRIV	[5493AADF4954]
http://linked.open...v/mistoKonaniAkce	Istanbul
http://linked.open...i/riv/mistoVydani	New York
http://linked.open...i/riv/nazevZdroje	CIE 2014 - 44th International Conference on Computers and Industrial Engineering and IMSS 2014 - 9th International Symposium on Intelligent Manufacturing and Service Systems...
http://linked.open...in/vavai/riv/obor	AE
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Verification of suitability of particular Lévy models for selected issues of financial modeling Opportunities for young researchers Modelování finančních časových řad a odhad rizika IT4Innovations Centre of Excellence
http://linked.open...UplatneniVysledku	2014
http://linked.open...iv/tvurceVysledku	Kresta, Aleš Tichý, Tomáš
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2014-10-14 (xsd:date)
number of pages	12 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Curran Associates
https://schema.org/isbn	978-1-63439-679-0
http://localhost/t...ganizacniJednotka	27510

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