International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F12%3A86082981" target="_blank" >RIV/61989100:27510/12:86082981 - 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 Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions

Original language description

Financial risk modeling and management are very important and challenging tasks for financial institutions? quantitative units. Owing to the complex nature of portfolios, and given recent financial market developments, contemporary research is focused ontail modeling and/or dependency modeling. The main objective of this paper is to examine the potential contribution of Lévy-based subordinated models coupled by ordinary elliptical copula functions to the estimation of the distribution pattern of international equity portfolios. The authors observe that the subordinated NIG model coupled with the Student copula function, and in particular its combined estimation version, allows them to get very good estimates of portfolio risk measures.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2012

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Finance a úvěr - Czech Journal of Economics and Finance

ISSN

0015-1920

e-ISSN

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Volume of the periodical

62

Issue of the periodical within the volume

2

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

21

Pages from-to

141-161

UT code for WoS article

000303969200004

EID of the result in the Scopus database

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