About: Risk estimation and backtesting at European FX rate market

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Financial markets are very sensitive to all kinds of risk. Immediately after any unexpected announcement the volatility of market returns is suddenly increased and market prices can potentially fall down. However, the announcement can influence prices of only some assets, while prices of others remain stable. It follows that a different risk type indicates a need for distinct methods of risk modelling, measuring and managing. The purpose of this paper is to identify if there is any similarity in risk estimation model performance across European FX rate market. We have documented that among the FX rates in study, the worst results were obtained for CHF. Moreover, there are important similarities in the occurrence of exceptions among Central European markets. Financial markets are very sensitive to all kinds of risk. Immediately after any unexpected announcement the volatility of market returns is suddenly increased and market prices can potentially fall down. However, the announcement can influence prices of only some assets, while prices of others remain stable. It follows that a different risk type indicates a need for distinct methods of risk modelling, measuring and managing. The purpose of this paper is to identify if there is any similarity in risk estimation model performance across European FX rate market. We have documented that among the FX rates in study, the worst results were obtained for CHF. Moreover, there are important similarities in the occurrence of exceptions among Central European markets. (en)
Title	Risk estimation and backtesting at European FX rate market Risk estimation and backtesting at European FX rate market (en)
skos:prefLabel	Risk estimation and backtesting at European FX rate market Risk estimation and backtesting at European FX rate market (en)
skos:notation	RIV/61989100:27510/11:86079352!RIV12-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...vai/riv/dodaniDat	2012
http://linked.open...aciTvurceVysledku	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	227115
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/11:86079352
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	FX rate risk, backtesting, Lévy models (en)
http://linked.open.../riv/klicoveSlovo	Lévy models backtesting FX rate risk
http://linked.open...ontrolniKodProRIV	[91070B1570FC]
http://linked.open...v/mistoKonaniAkce	Ostrava
http://linked.open...i/riv/mistoVydani	Ostrava
http://linked.open...i/riv/nazevZdroje	Finanční řízení podniků a finančních institucí. Sborník příspěvků z 8. mezinárodní vědecké konference
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...UplatneniVysledku	2011
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open.../riv/zahajeniAkce	2011-09-06 (xsd:date)
number of pages	11 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Vysoká škola báňská - Technická univerzita Ostrava
https://schema.org/isbn	978-80-248-2494-9
http://localhost/t...ganizacniJednotka	27510
is http://linked.open...avai/riv/vysledek of	Risk estimation and backtesting at European FX rate market Risk estimation and backtesting at European FX rate market

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