Innovations at financial markets: How to model higher moments of portfolio distribution

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F10%3A10225491" target="_blank" >RIV/61989100:27510/10:10225491 - 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

Innovations at financial markets: How to model higher moments of portfolio distribution

Popis výsledku v původním jazyce

Financial markets are subject to permanent innovations, which concerns introduction of new products as well as organizational innovation. Through these innovations new risks arise and the modeling starts to be very challenging. Moreover, since financialinstitutions play a key role in financial systems the importance of sound risk measuring and modeling techniques is stressed further. In this paper, we suggest an ordinary copula with Lévy marginals based approach for estimation of market risk of financial institutions international portfolio in line with both Basel II/Solvency II approach and internal rating based approach. We observe that although elliptical (ie. symmetric) copula functions with stressed tails allows very good fitting for daily data,there is still some error in the estimation of the overall capital requirement as based on ten days or one year horizon.

Název v anglickém jazyce

Innovations at financial markets: How to model higher moments of portfolio distribution

Popis výsledku anglicky

Financial markets are subject to permanent innovations, which concerns introduction of new products as well as organizational innovation. Through these innovations new risks arise and the modeling starts to be very challenging. Moreover, since financialinstitutions play a key role in financial systems the importance of sound risk measuring and modeling techniques is stressed further. In this paper, we suggest an ordinary copula with Lévy marginals based approach for estimation of market risk of financial institutions international portfolio in line with both Basel II/Solvency II approach and internal rating based approach. We observe that although elliptical (ie. symmetric) copula functions with stressed tails allows very good fitting for daily data,there is still some error in the estimation of the overall capital requirement as based on ten days or one year horizon.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

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)<br>S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2010

Kód důvěrnosti údajů

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

Název periodika

Actual Problems of Economics

ISSN

1993-6788

e-ISSN

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Svazek periodika

2

Číslo periodika v rámci svazku

12

Stát vydavatele periodika

UA - Ukrajina

Počet stran výsledku

14

Strana od-do

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Kód UT WoS článku

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EID výsledku v databázi Scopus

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