Modely závislosti pro malé portfolio citlivé na vývoj úrokových sazeb

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F08%3A00018527" target="_blank" >RIV/61989100:27510/08:00018527 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Dependency models for a small FX rate sensitive portfolio

Popis výsledku v původním jazyce

The main focus of this chapter is to present the simplest approaches to the dependency modelling of subordinated Lévy models and apply them in order to estimate the probability distribution of returns of a small portfolio sensitive to the evolution of FXrates. We start with the motivation for the use of advanced stochastic processes within the market risk modelling. Next, we briefly review several basic facts that lie behind the theory of subordinated Lévy models, namely the Variance gamma model and the Normal inverse Gaussian model. After that, several ways to model the dependency among particular sources of randomness are proposed. Finally, the ability of selected models to fit the probability distribution of a small FX rate sensitive portfolio is examined. We study mainly the measures of the overall risk (left quantiles, VaR) and higher moments of the distribution (skewness and kurtosis).

Název v anglickém jazyce

Dependency models for a small FX rate sensitive portfolio

Popis výsledku anglicky

The main focus of this chapter is to present the simplest approaches to the dependency modelling of subordinated Lévy models and apply them in order to estimate the probability distribution of returns of a small portfolio sensitive to the evolution of FXrates. We start with the motivation for the use of advanced stochastic processes within the market risk modelling. Next, we briefly review several basic facts that lie behind the theory of subordinated Lévy models, namely the Variance gamma model and the Normal inverse Gaussian model. After that, several ways to model the dependency among particular sources of randomness are proposed. Finally, the ability of selected models to fit the probability distribution of a small FX rate sensitive portfolio is examined. We study mainly the measures of the overall risk (left quantiles, VaR) and higher moments of the distribution (skewness and kurtosis).

Druh

C - Kapitola v odborné knize

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA402%2F08%2F1237" target="_blank" >GA402/08/1237: Aplikace komplexních Lévyho procesů při modelování vývoje cen finančních aktiv</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2008

Kód důvěrnosti údajů

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

Název knihy nebo sborníku

Consequences of the European Monetary Integration on Financial Markets

ISBN

978-1-4438-0068-6

Počet stran výsledku

20

Strana od-do

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Počet stran knihy

20

Název nakladatele

Cambridge Scholars Press

Místo vydání

Cambridge

Kód UT WoS kapitoly

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