"Journal of Competitiveness" . "Some results on foreign equity portfolio risk backtesting via L\u00E9vy ordinary copula model" . "2"^^ . "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 \u2013 a comparison of the one step ahead risk estimation and a true loss occurred on a given day \u2013 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."@en . . "1804-171X" . . "4" . . "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 \u2013 a comparison of the one step ahead risk estimation and a true loss occurred on a given day \u2013 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." . "2"^^ . . "[5D413B78EE79]" . . "Some results on foreign equity portfolio risk backtesting via L\u00E9vy ordinary copula model"@en . . . "Tich\u00FD, Tom\u00E1\u0161" . "Kresta, Ale\u0161" . . . "P(ED1.1.00/02.0070), S" . "27510" . . . "12"^^ . "RIV/61989100:27510/12:86083107" . "backtesting, market risk, model validation, subordinated L\u00E9vy model, ordinary elliptical copula function"@en . "Some results on foreign equity portfolio risk backtesting via L\u00E9vy ordinary copula model"@en . . "CZ - \u010Cesk\u00E1 republika" . . . "RIV/61989100:27510/12:86083107!RIV13-MSM-27510___" . . . . "Some results on foreign equity portfolio risk backtesting via L\u00E9vy ordinary copula model" . . . "2" . "169234" . .