Backtesting of market risk estimation assuming various copula functions
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F12%3A86082984" target="_blank" >RIV/61989100:27510/12:86082984 - 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
Backtesting of market risk estimation assuming various copula functions
Original language description
Market risk estimation is a challenging and no less important task of all financial institutions, which requires the modeling of portfolio returns. When modeling the portfolio returns, we are interested in modeling both the distributions of individual assets returns and dependency of these marginal distributions. The useful tool for dependency modeling are copula functions. The task of this article is to compare the utilization of various copula functions, specifically Gaussian, Student and some other types of copula functions, for portfolio returns modeling and subsequent VaR estimation. As marginal distributions normal inverse Gaussian model (NIG) and also normal distribution are assumed in the paper. These two marginal distributions both joined by chosen copula functions are backtested on time series of historical returns of portfolios dependent on both stock market indices and foreign exchange rates.
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
<a href="/en/project/EE2.3.30.0016" target="_blank" >EE2.3.30.0016: Opportunities for young researchers</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of 30th International Conference Mathematical Methods in Economics : 11-13 September 2012, Karviná, Czech Republic
ISBN
978-80-7248-779-0
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
484-489
Publisher name
Slezská univerzita v Opavě
Place of publication
Opava
Event location
Karviná
Event date
Sep 11, 2012
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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