SENSITIVITY MODELING OF CAPITAL REQUIREMENTS TO MARKET RISK

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F09%3A00020612" target="_blank" >RIV/61989100:27510/09:00020612 - 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

SENSITIVITY MODELING OF CAPITAL REQUIREMENTS TO MARKET RISK

Popis výsledku v původním jazyce

The recent financial crises resulted into significant increase of volatility of financial assets returns and, more importantly, it also brings many cases of jumps, ie. sudden and huge movements of prices. The crisis spread into particular market segmentspromptly mainly through the integration of regional markets into one global market place. It is evident especially when we examine the evolution of foreign currency returns, which is probably the segment with the highest liquidity and traded volume of overall financial market. Such a significant growth of realized volatility of market returns should obviously lead to demand of financial institutions on additional capital eligible to cover market risk as it is recognized by supervisor authorities. The aim of this paper is to present an approach based on copula subordinated Lévy model application, which is qualified to give a true picture of increased volatility of market returns, including more than normal kurtosis (i.e. higher peaks an

Název v anglickém jazyce

SENSITIVITY MODELING OF CAPITAL REQUIREMENTS TO MARKET RISK

Popis výsledku anglicky

The recent financial crises resulted into significant increase of volatility of financial assets returns and, more importantly, it also brings many cases of jumps, ie. sudden and huge movements of prices. The crisis spread into particular market segmentspromptly mainly through the integration of regional markets into one global market place. It is evident especially when we examine the evolution of foreign currency returns, which is probably the segment with the highest liquidity and traded volume of overall financial market. Such a significant growth of realized volatility of market returns should obviously lead to demand of financial institutions on additional capital eligible to cover market risk as it is recognized by supervisor authorities. The aim of this paper is to present an approach based on copula subordinated Lévy model application, which is qualified to give a true picture of increased volatility of market returns, including more than normal kurtosis (i.e. higher peaks an

Druh

D - Stať ve sborníku

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

2009

Kód důvěrnosti údajů

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

Název statě ve sborníku

Liberecké ekonomické fórum

ISBN

978-80-7372-523-5

ISSN

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e-ISSN

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Počet stran výsledku

10

Strana od-do

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Název nakladatele

Technická univerzita Liberec

Místo vydání

Liberec

Místo konání akce

Liberec

Datum konání akce

15. 9. 2009

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000272657000043