Market risk backtesting by ordinary Lévy copula model.
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F11%3A86079354" target="_blank" >RIV/61989100:27510/11:86079354 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Market risk backtesting by ordinary Lévy copula model.
Original language description
Market risk is an inherent part of riskmanagement of financial institutions. More importantly, for internationally active banks or insurance companies, the FX rate risk is probably the most important part. In this paper we make further contribution to the analysis of subordinated Lévy models coupled together by copula functions, see Tichý (2010) ? more particularly, increasing the number of scenarios we analyze, whether the maximal likelihood approach or methods of moments provide better results.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Hradec Economic Days 2011 : economic development and management of regions : the international conference : peer-reviewed conference proceedings. Part II
ISBN
978-80-7435-101-3
ISSN
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e-ISSN
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Number of pages
5
Pages from-to
161-165
Publisher name
Gaudeamus
Place of publication
Hradec Králové
Event location
Hradec Králové
Event date
Feb 1, 2011
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000310711700028