Backtesting results and the type of the security

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F11%3A86079330" target="_blank" >RIV/61989100:27510/11:86079330 - 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
Backtesting results and the type of the security
Original language description
Financial risk modeling and its subsequent management is a very important and no less challenging task of quantitative units of financial institutions. Due to the nature of complex portfolios and based on recent evolution at financial markets, contemporary research is focused either on tails modeling or dependency modeling or both. The main task of this paper is to examine a potential contribution of Lévy based subordinated models as a tool to estimate the risk of particular positions across the world financial markets. Moreover, on the basis of backtesting procedure and utilizing various tests of exceptions in the risk estimation we can analyze the efficiency of a particular model with respect to a given security. In this context we try to identify, if there is any important difference/similarity of particular assets in question and/or which kind of test seems to be the most useful. With respect of that we analyze foreign exchange rate and stock positions by evaluating a large set of
Czech name
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Czech description
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Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 10th International Conference Liberec Economic Forum 2011
ISBN
978-80-7372-755-0
ISSN
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e-ISSN
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Number of pages
9
Pages from-to
488-496
Publisher name
TU Liberec
Place of publication
Liberec
Event location
Liberec, Ekonomická fakulta, TUL
Event date
Sep 19, 2011
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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