About: The implication of the security type for efficient risk measuring

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Financial services can be regarded as very innovative. Banks, insurance companies and other financial institutions offer new products to potential clients virtually every day. However, new products bring also new kinds of risks. Obviously, a different risk type indicates a need for distinct methods of risk modeling, measuring and managing. In this paper, we try to identify – on the basis of a backtesting procedure and utilizing various tests of exceptions in the risk estimation – the efficiency of a particular model with respect to a given security. In this context we try to identify, if there is any important difference/similarity of particular assets in question and/or which kind of test seems to be the most useful. With respect of that we analyze foreign exchange rate and stock positions by evaluating a large set of tests. The results can be interesting for financial policy evaluation and can also help the financial institutions in the internal risk management process. Financial services can be regarded as very innovative. Banks, insurance companies and other financial institutions offer new products to potential clients virtually every day. However, new products bring also new kinds of risks. Obviously, a different risk type indicates a need for distinct methods of risk modeling, measuring and managing. In this paper, we try to identify – on the basis of a backtesting procedure and utilizing various tests of exceptions in the risk estimation – the efficiency of a particular model with respect to a given security. In this context we try to identify, if there is any important difference/similarity of particular assets in question and/or which kind of test seems to be the most useful. With respect of that we analyze foreign exchange rate and stock positions by evaluating a large set of tests. The results can be interesting for financial policy evaluation and can also help the financial institutions in the internal risk management process. (en)
Title	The implication of the security type for efficient risk measuring The implication of the security type for efficient risk measuring (en)
skos:prefLabel	The implication of the security type for efficient risk measuring The implication of the security type for efficient risk measuring (en)
skos:notation	RIV/61989100:27510/11:86079311!RIV13-MSM-27510___
http://linked.open...avai/predkladatel	Ekonomická fakulta
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...iv/cisloPeriodika	12
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Cielepová, Gabriela Tichý, Tomáš
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	203864
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/11:86079311
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Financial risk, risk estimation, capital requirement, backtesting, Lévy models, variance gamma model (en)
http://linked.open.../riv/klicoveSlovo	Financial risk Lévy models backtesting capital requirement risk estimation variance gamma model
http://linked.open...odStatuVydavatele	UA - Ukrajina
http://linked.open...ontrolniKodProRIV	[AEAE256BA6FF]
http://linked.open...i/riv/nazevZdroje	Actual Problems of Economics
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...UplatneniVysledku	2011
http://linked.open...v/svazekPeriodika	2
http://linked.open...iv/tvurceVysledku	Cielepová, Gabriela Tichý, Tomáš
issn	1993-6788
number of pages	8 (xsd:int)
http://localhost/t...ganizacniJednotka	27510
is http://linked.open...avai/riv/vysledek of	The implication of the security type for efficient risk measuring

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