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Statements

Subject Item
n2:RIV%2F61989100%3A27510%2F12%3A86083107%21RIV13-MSM-27510___
rdf:type
skos:Concept n11:Vysledek
dcterms:description
The soundness of risk monitoring and measuring systems is a key point for the reliability of financial institutions. One of the features of a reliable risk model is that it passes a backtesting procedure – a comparison of the one step ahead risk estimation and a true loss occurred on a given day – without any troubles. Within this paper, basic tests to backtesting procedure due to Kupiec, Christoffersen and Haas are applied on a portfolio sensitive to equity and FX rate risk. In particular details, we focus on NIG model and its variants due to various time spans used for parameter estimation. We document a significant improvement of such tail risk models on several portfolio positions. The soundness of risk monitoring and measuring systems is a key point for the reliability of financial institutions. One of the features of a reliable risk model is that it passes a backtesting procedure – a comparison of the one step ahead risk estimation and a true loss occurred on a given day – without any troubles. Within this paper, basic tests to backtesting procedure due to Kupiec, Christoffersen and Haas are applied on a portfolio sensitive to equity and FX rate risk. In particular details, we focus on NIG model and its variants due to various time spans used for parameter estimation. We document a significant improvement of such tail risk models on several portfolio positions.
dcterms:title
Some results on foreign equity portfolio risk backtesting via Lévy ordinary copula model Some results on foreign equity portfolio risk backtesting via Lévy ordinary copula model
skos:prefLabel
Some results on foreign equity portfolio risk backtesting via Lévy ordinary copula model Some results on foreign equity portfolio risk backtesting via Lévy ordinary copula model
skos:notation
RIV/61989100:27510/12:86083107!RIV13-MSM-27510___
n11:predkladatel
n12:orjk%3A27510
n3:aktivita
n17:S n17:P
n3:aktivity
P(ED1.1.00/02.0070), S
n3:cisloPeriodika
2
n3:dodaniDat
n10:2013
n3:domaciTvurceVysledku
n8:3143783 n8:3252833
n3:druhVysledku
n19:J
n3:duvernostUdaju
n13:S
n3:entitaPredkladatele
n18:predkladatel
n3:idSjednocenehoVysledku
169234
n3:idVysledku
RIV/61989100:27510/12:86083107
n3:jazykVysledku
n6:eng
n3:klicovaSlova
backtesting, market risk, model validation, subordinated Lévy model, ordinary elliptical copula function
n3:klicoveSlovo
n9:backtesting n9:ordinary%20elliptical%20copula%20function n9:subordinated%20L%C3%A9vy%20model n9:model%20validation n9:market%20risk
n3:kodStatuVydavatele
CZ - Česká republika
n3:kontrolniKodProRIV
[5D413B78EE79]
n3:nazevZdroje
Journal of Competitiveness
n3:obor
n15:AE
n3:pocetDomacichTvurcuVysledku
2
n3:pocetTvurcuVysledku
2
n3:projekt
n16:ED1.1.00%2F02.0070
n3:rokUplatneniVysledku
n10:2012
n3:svazekPeriodika
4
n3:tvurceVysledku
Tichý, Tomáš Kresta, Aleš
s:issn
1804-171X
s:numberOfPages
12
n14:organizacniJednotka
27510