About: Backtesting of market risk estimation assuming various copula functions

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Market risk estimation is a challenging and no less important task of all financial institutions, which requires the modeling of portfolio returns. When modeling the portfolio returns, we are interested in modeling both the distributions of individual assets returns and dependency of these marginal distributions. The useful tool for dependency modeling are copula functions. The task of this article is to compare the utilization of various copula functions, specifically Gaussian, Student and some other types of copula functions, for portfolio returns modeling and subsequent VaR estimation. As marginal distributions normal inverse Gaussian model (NIG) and also normal distribution are assumed in the paper. These two marginal distributions both joined by chosen copula functions are backtested on time series of historical returns of portfolios dependent on both stock market indices and foreign exchange rates. Market risk estimation is a challenging and no less important task of all financial institutions, which requires the modeling of portfolio returns. When modeling the portfolio returns, we are interested in modeling both the distributions of individual assets returns and dependency of these marginal distributions. The useful tool for dependency modeling are copula functions. The task of this article is to compare the utilization of various copula functions, specifically Gaussian, Student and some other types of copula functions, for portfolio returns modeling and subsequent VaR estimation. As marginal distributions normal inverse Gaussian model (NIG) and also normal distribution are assumed in the paper. These two marginal distributions both joined by chosen copula functions are backtested on time series of historical returns of portfolios dependent on both stock market indices and foreign exchange rates. (en)
Title	Backtesting of market risk estimation assuming various copula functions Backtesting of market risk estimation assuming various copula functions (en)
skos:prefLabel	Backtesting of market risk estimation assuming various copula functions Backtesting of market risk estimation assuming various copula functions (en)
skos:notation	RIV/61989100:27510/12:86082984!RIV13-MSM-27510___
http://linked.open...avai/predkladatel	Ekonomická fakulta
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(EE2.3.30.0016), S
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Kresta, Aleš
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	124369
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/12:86082984
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	copula function; subordinated Lévy model; model validation; market risk; backtesting (en)
http://linked.open.../riv/klicoveSlovo	backtesting market risk model validation subordinated Lévy model copula function
http://linked.open...ontrolniKodProRIV	[002416C03FCF]
http://linked.open...v/mistoKonaniAkce	Karviná
http://linked.open...i/riv/mistoVydani	Opava
http://linked.open...i/riv/nazevZdroje	Proceedings of 30th International Conference Mathematical Methods in Economics : 11-13 September 2012, Karviná, Czech Republic
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...vavai/riv/projekt	Opportunities for young researchers
http://linked.open...UplatneniVysledku	2012
http://linked.open...iv/tvurceVysledku	Kresta, Aleš
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open.../riv/zahajeniAkce	2012-09-11 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Slezská univerzita v Opavě
https://schema.org/isbn	978-80-7248-779-0
http://localhost/t...ganizacniJednotka	27510
is http://linked.open...avai/riv/vysledek of	Backtesting of market risk estimation assuming various copula functions

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