Some findings about risk estimation and backtesting at the world FX rate market
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F12%3A86083109" target="_blank" >RIV/61989100:27510/12:86083109 - 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
Some findings about risk estimation and backtesting at the world FX rate market
Original language description
Financial markets are very sensitive to all kinds of risk. Immediately after any unexpected announcement the volatility of price returns is suddenly increased and market prices can potentially fall down. However, the announcement can influence prices ofonly some assets, while prices of others may remain relatively stable. It follows that a different risk type indicates a need for distinct methods of risk modelling, measuring and managing. In this paper we continue in our previous research and try to identify if there is any similarity in risk estimation model performance across particular world FX rate markets and provide the most important findings about the (dis)similarities with special attention to (former) transitional economies of Europe and Asia-Pacific regions. In particular, we apply VG and NIG models of marginal distribution for VaR calculation and backtesting and use JPY and USD currencies as examples of global FX rates with potentially low tights to the regional evolution.
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/ED1.1.00%2F02.0070" target="_blank" >ED1.1.00/02.0070: IT4Innovations Centre of Excellence</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
897-902
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
000317528600069