Market risk backtesting via Lévy models and parameter estimation

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F10%3A10225492" target="_blank" >RIV/61989100:27510/10:10225492 - 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
Market risk backtesting via Lévy models and parameter estimation
Original language description
It is very important that each risk model is validated, ie. it is verified whether it describes the risk on a given probability level sufficiently or not. One of the most popular methods is the backtesting, ie. utilizing of the past market data. In thispaper, we focus on market risk modeling via subordinated Lévy models joined by ordinary elliptical copula functions. Selected combinations of models (geometric Brownian motion, variance gamma model, normal inverse Gaussian model for marginal distributionand Gaussian and Student copula functions for joint distribution) are assumed in order to verify the backtesting power of several combinations of normalized data as a basis for parameter estimation. It is documented that while the (linear) dependency structure is of a short memory, in order to estimate the higher moments (skewness and kurtosis) of the underlying distribution well, longer time series is required.
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)<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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