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Description
| - Financial risk modeling and its subsequent management is a very important and no less challenging task of quantitative units of financial institutions. Due to the nature of complex portfolios and based on recent evolution at financial markets, contemporary research is focused either on tails modeling or dependency modeling or both. The main task of this paper is to examine a potential contribution of L\'evy based subordinated NIG model as a tool to estimate the risk of positions in foreign equities. In order to model the joint evolution of equities and FX rates, Student and Gaussian copula functions are assumed, ie.\ marginal distributions in terms of NIG model are joined together. We examine several horizons to estimate the model parameters and evaluate the efficiency of risk measure by backtesting procedure. We also study the effect of particular positions, as well as the impact of single positions on the quality of risk estimation.
- Financial risk modeling and its subsequent management is a very important and no less challenging task of quantitative units of financial institutions. Due to the nature of complex portfolios and based on recent evolution at financial markets, contemporary research is focused either on tails modeling or dependency modeling or both. The main task of this paper is to examine a potential contribution of L\'evy based subordinated NIG model as a tool to estimate the risk of positions in foreign equities. In order to model the joint evolution of equities and FX rates, Student and Gaussian copula functions are assumed, ie.\ marginal distributions in terms of NIG model are joined together. We examine several horizons to estimate the model parameters and evaluate the efficiency of risk measure by backtesting procedure. We also study the effect of particular positions, as well as the impact of single positions on the quality of risk estimation. (en)
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Title
| - International equity risk modeling by NIG model
- International equity risk modeling by NIG model (en)
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skos:prefLabel
| - International equity risk modeling by NIG model
- International equity risk modeling by NIG model (en)
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skos:notation
| - RIV/61989100:27510/11:86079336!RIV13-MSM-27510___
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http://linked.open...avai/predkladatel
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http://linked.open...avai/riv/aktivita
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http://linked.open...avai/riv/aktivity
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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/61989100:27510/11:86079336
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http://linked.open...riv/jazykVysledku
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http://linked.open.../riv/klicovaSlova
| - Market risk, equity, FX rate, subordinated model, 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...v/mistoKonaniAkce
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http://linked.open...i/riv/mistoVydani
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http://linked.open...i/riv/nazevZdroje
| - Proceedings of the 29th International Conference on Mathematical Methods in Economics 2011 - part I
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http://linked.open...in/vavai/riv/obor
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http://linked.open...ichTvurcuVysledku
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http://linked.open...cetTvurcuVysledku
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http://linked.open...UplatneniVysledku
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http://linked.open...iv/tvurceVysledku
| - Kresta, Aleš
- Tichý, Tomáš
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http://linked.open...vavai/riv/typAkce
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http://linked.open...ain/vavai/riv/wos
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http://linked.open.../riv/zahajeniAkce
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number of pages
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http://purl.org/ne...btex#hasPublisher
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https://schema.org/isbn
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http://localhost/t...ganizacniJednotka
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is http://linked.open...avai/riv/vysledek
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