Backtesting of portfolio risk in terms of ordinary Lévy copula model.

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F11%3A86079356" target="_blank" >RIV/61989100:27510/11:86079356 - 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 of portfolio risk in terms of ordinary Lévy copula model.
Original language description
The soundness of risk monitoring and measuring systems 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 ? due to Kupiec and Christoffersen ? are applied on two market risk models, Brownian motion and Lévy NIG model for marginal distribution joined either by Gaussian or Student copula function to get the portfolio distribution. In particular, a portfolio sensitive to equity and FX rate risk. We document a significant improvement of such tail risk models on several portfolio positions.
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
Finance and the Performance of Firms in Science, Education and Practice : proceedings of the 5th international scientific conference
ISBN
978-80-7454-020-2
ISSN
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e-ISSN
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Number of pages
8
Pages from-to
303-310
Publisher name
Univerzita Tomáše Bati ve Zlíně, Fakulta managementu a ekonomiky
Place of publication
Zlín
Event location
Zlín
Event date
Apr 28, 2011
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000306544000028

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