International equity risk modeling by NIG model

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F11%3A86079336" target="_blank" >RIV/61989100:27510/11:86079336 - 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
International equity risk modeling by NIG model
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 L'evy based subordinated NIG model as a tool to estimate the risk of positions in foreign equities. Inorder to model the joint evolution of equities and FX rates, Student and Gaussian copula functions are assumed, ie. marginal distributions in terms of NIG model are joined together. We examine several horizons to estimate the model parameters and evaluate the efficiency of risk measure by backtesting procedure. We also study the effect of particular positions, as well as the impact of single positions on the quality of risk estimation.
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 29th International Conference on Mathematical Methods in Economics 2011 - part I
ISBN
978-80-7431-058-4
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
401-406
Publisher name
Professional Publishing
Place of publication
Prague
Event location
Janska Dolina
Event date
Sep 6, 2011
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000309074600066

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