The implication of the security type for efficient risk measuring

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F11%3A86079311" target="_blank" >RIV/61989100:27510/11:86079311 - 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

The implication of the security type for efficient risk measuring

Popis výsledku v původním jazyce

Financial services can be regarded as very innovative. Banks, insurance companies and other financial institutions offer new products to potential clients virtually every day. However, new products bring also new kinds of risks. Obviously, a different risk type indicates a need for distinct methods of risk modeling, measuring and managing. In this paper, we try to identify ? on the basis of a backtesting procedure and utilizing various tests of exceptions in the risk estimation ? the efficiency of a particular model with respect to a given security. In this context we try to identify, if there is any important difference/similarity of particular assets in question and/or which kind of test seems to be the most useful. With respect of that we analyze foreign exchange rate and stock positions by evaluating a large set of tests. The results can be interesting for financial policy evaluation and can also help the financial institutions in the internal risk management process.

Název v anglickém jazyce

The implication of the security type for efficient risk measuring

Popis výsledku anglicky

Financial services can be regarded as very innovative. Banks, insurance companies and other financial institutions offer new products to potential clients virtually every day. However, new products bring also new kinds of risks. Obviously, a different risk type indicates a need for distinct methods of risk modeling, measuring and managing. In this paper, we try to identify ? on the basis of a backtesting procedure and utilizing various tests of exceptions in the risk estimation ? the efficiency of a particular model with respect to a given security. In this context we try to identify, if there is any important difference/similarity of particular assets in question and/or which kind of test seems to be the most useful. With respect of that we analyze foreign exchange rate and stock positions by evaluating a large set of tests. The results can be interesting for financial policy evaluation and can also help the financial institutions in the internal risk management process.

Druh

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

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2011

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

8

Strana od-do

144-150

Kód UT WoS článku

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EID výsledku v databázi Scopus

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