SENSITIVITY MODELING OF CAPITAL REQUIREMENTS TO MARKET RISK

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F09%3A00020612" target="_blank" >RIV/61989100:27510/09:00020612 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
SENSITIVITY MODELING OF CAPITAL REQUIREMENTS TO MARKET RISK
Original language description
The recent financial crises resulted into significant increase of volatility of financial assets returns and, more importantly, it also brings many cases of jumps, ie. sudden and huge movements of prices. The crisis spread into particular market segmentspromptly mainly through the integration of regional markets into one global market place. It is evident especially when we examine the evolution of foreign currency returns, which is probably the segment with the highest liquidity and traded volume of overall financial market. Such a significant growth of realized volatility of market returns should obviously lead to demand of financial institutions on additional capital eligible to cover market risk as it is recognized by supervisor authorities. The aim of this paper is to present an approach based on copula subordinated Lévy model application, which is qualified to give a true picture of increased volatility of market returns, including more than normal kurtosis (i.e. higher peaks an
Czech name
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Czech description
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Project
<a href="/en/project/GA402%2F08%2F1237" target="_blank" >GA402/08/1237: Application of complex Lévy processes in modeling of financial assets prices</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2009
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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