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Statements

Subject Item
n2:RIV%2F61989100%3A27510%2F11%3A86079311%21RIV13-MSM-27510___
rdf:type
n9:Vysledek skos:Concept
dcterms: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.
dcterms:title
The implication of the security type for efficient risk measuring The implication of the security type for efficient risk measuring
skos:prefLabel
The implication of the security type for efficient risk measuring The implication of the security type for efficient risk measuring
skos:notation
RIV/61989100:27510/11:86079311!RIV13-MSM-27510___
n9:predkladatel
n17:orjk%3A27510
n4:aktivita
n5:S
n4:aktivity
S
n4:cisloPeriodika
12
n4:dodaniDat
n14:2013
n4:domaciTvurceVysledku
n11:9910506 n11:3252833
n4:druhVysledku
n7:J
n4:duvernostUdaju
n16:S
n4:entitaPredkladatele
n18:predkladatel
n4:idSjednocenehoVysledku
203864
n4:idVysledku
RIV/61989100:27510/11:86079311
n4:jazykVysledku
n10:eng
n4:klicovaSlova
Financial risk, risk estimation, capital requirement, backtesting, Lévy models, variance gamma model
n4:klicoveSlovo
n8:backtesting n8:capital%20requirement n8:Financial%20risk n8:L%C3%A9vy%20models n8:variance%20gamma%20model n8:risk%20estimation
n4:kodStatuVydavatele
UA - Ukrajina
n4:kontrolniKodProRIV
[AEAE256BA6FF]
n4:nazevZdroje
Actual Problems of Economics
n4:obor
n12:AH
n4:pocetDomacichTvurcuVysledku
2
n4:pocetTvurcuVysledku
2
n4:rokUplatneniVysledku
n14:2011
n4:svazekPeriodika
2
n4:tvurceVysledku
Tichý, Tomáš Cielepová, Gabriela
s:issn
1993-6788
s:numberOfPages
8
n13:organizacniJednotka
27510