Risk estimation and backtesting at European FX rate market

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F11%3A86079352" target="_blank" >RIV/61989100:27510/11:86079352 - 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 and backtesting at European FX rate market
Original language description
Financial markets are very sensitive to all kinds of risk. Immediately after any unexpected announcement the volatility of market returns is suddenly increased and market prices can potentially fall down. However, the announcement can influence prices ofonly some assets, while prices of others remain stable. It follows that a different risk type indicates a need for distinct methods of risk modelling, measuring and managing. The purpose of this paper is to identify if there is any similarity in risk estimation model performance across European FX rate market. We have documented that among the FX rates in study, the worst results were obtained for CHF. Moreover, there are important similarities in the occurrence of exceptions among Central European markets.
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
Finanční řízení podniků a finančních institucí. Sborník příspěvků z 8. mezinárodní vědecké konference
ISBN
978-80-248-2494-9
ISSN
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e-ISSN
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Number of pages
11
Pages from-to
532-542
Publisher name
VŠB - TU Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 6, 2011
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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