Backtesting of VaR-based models: Methodological review and selected applications
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86086857" target="_blank" >RIV/61989100:27510/13:86086857 - 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 VaR-based models: Methodological review and selected applications
Original language description
The publication is focused on a methodological review of financial risk models and their backtesting. Selected applications covers various data types, model definitions and parameter estimation. A special attention is focused on a modern tool of financial modeling, the Lévy processes, ie. any continuous-time process that starts at zero, can consists of jum ps (although, it is cadlag) and corresponds to infinitely divisible probability distribution. It follows that such group of processes is very broad.However, specific features of some examples allows very efficient risk estimation.
Czech name
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Czech description
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Classification
Type
B - Specialist book
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
ISBN
978-80-248-3291-3
Number of pages
180
Publisher name
Vysoká škola báňská-Technická univerzita Ostrava
Place of publication
Ostrava
UT code for WoS book
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