Innovations at financial markets: How to model higher moments of portfolio distribution

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F10%3A10225491" target="_blank" >RIV/61989100:27510/10:10225491 - 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
Innovations at financial markets: How to model higher moments of portfolio distribution
Original language description
Financial markets are subject to permanent innovations, which concerns introduction of new products as well as organizational innovation. Through these innovations new risks arise and the modeling starts to be very challenging. Moreover, since financialinstitutions play a key role in financial systems the importance of sound risk measuring and modeling techniques is stressed further. In this paper, we suggest an ordinary copula with Lévy marginals based approach for estimation of market risk of financial institutions international portfolio in line with both Basel II/Solvency II approach and internal rating based approach. We observe that although elliptical (ie. symmetric) copula functions with stressed tails allows very good fitting for daily data,there is still some error in the estimation of the overall capital requirement as based on ten days or one year horizon.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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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)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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