Risk estimation for FX rates: basic backt techniques with some application

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F10%3A10225532" target="_blank" >RIV/61989100:27510/10:10225532 - 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
Risk estimation for FX rates: basic backt techniques with some application
Original language description
The soundness of risk monitoring and measuring system 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 methods of backtesting procedure are reviewed, including their pros and cons. Next, several approaches are applied on a case of equally weighted normalized FX ratesensitive portfolio. It is documented that both applied tests can provide different recommendations for the model.
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

Article name in the collection
Řízení a modelování finančních rizik : sborník příspěvků z 5. mezinárodní vědecké konference : 8.-9. září 2010, Ostrava, Česká republika
ISBN
978-80-248-2306-5
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
399-408
Publisher name
VŠB - Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 8, 2010
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000306816200049

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