Using Asymmetric Copulas in Risk Management

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Using Asymmetric Copulas in Risk Management

Popis výsledku v původním jazyce

Risk measurement importance as well as the efficiency of risk management tools have increased dramatically over the last three decades, Value at Risk (VaR) is one of the most popular risk management approaches. Due to the ever-increasing amount of assets in the portfolios of both financial and non-financial institutions, there is an increasing need to use tools to describe multidimensional dependency structures. In this context, the use of the copula functions is increased in a direct proportion. The copulas are able to describe dependencies in normal market conditions as well as in the extreme events. The aim of the paper is to determine how the application of asymmetric classes copulas in the accuracy of modeling and forecasting equity risk.

Název v anglickém jazyce

Using Asymmetric Copulas in Risk Management

Popis výsledku anglicky

Risk measurement importance as well as the efficiency of risk management tools have increased dramatically over the last three decades, Value at Risk (VaR) is one of the most popular risk management approaches. Due to the ever-increasing amount of assets in the portfolios of both financial and non-financial institutions, there is an increasing need to use tools to describe multidimensional dependency structures. In this context, the use of the copula functions is increased in a direct proportion. The copulas are able to describe dependencies in normal market conditions as well as in the extreme events. The aim of the paper is to determine how the application of asymmetric classes copulas in the accuracy of modeling and forecasting equity risk.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50200 - Economics and Business

Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 30th International Business Information Management Association Conference: Vision 2020: Sustainable Economic development, Innovation Management, and Global Growth

ISBN

9780986041990

ISSN

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e-ISSN

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Počet stran výsledku

11

Strana od-do

4413-4423

Název nakladatele

International Business Information Management Association (IBIMA)

Místo vydání

USA

Místo konání akce

Madrid, Spain

Datum konání akce

1. 1. 2017

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000443640503053