Backtesting results and the type of the security
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F11%3A86079330" target="_blank" >RIV/61989100:27510/11:86079330 - isvavai.cz</a>
Výsledek na webu
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DOI - Digital Object Identifier
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Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Backtesting results and the type of the security
Popis výsledku v původním jazyce
Financial risk modeling and its subsequent management is a very important and no less challenging task of quantitative units of financial institutions. Due to the nature of complex portfolios and based on recent evolution at financial markets, contemporary research is focused either on tails modeling or dependency modeling or both. The main task of this paper is to examine a potential contribution of Lévy based subordinated models as a tool to estimate the risk of particular positions across the world financial markets. Moreover, on the basis of backtesting procedure and utilizing various tests of exceptions in the risk estimation we can analyze 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
Název v anglickém jazyce
Backtesting results and the type of the security
Popis výsledku anglicky
Financial risk modeling and its subsequent management is a very important and no less challenging task of quantitative units of financial institutions. Due to the nature of complex portfolios and based on recent evolution at financial markets, contemporary research is focused either on tails modeling or dependency modeling or both. The main task of this paper is to examine a potential contribution of Lévy based subordinated models as a tool to estimate the risk of particular positions across the world financial markets. Moreover, on the basis of backtesting procedure and utilizing various tests of exceptions in the risk estimation we can analyze 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
Klasifikace
Druh
D - Stať ve sborníku
CEP obor
AH - Ekonomie
OECD FORD obor
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Návaznosti výsledku
Projekt
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Návaznosti
S - Specificky vyzkum na vysokych skolach
Ostatní
Rok uplatnění
2011
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název statě ve sborníku
Proceedings of the 10th International Conference Liberec Economic Forum 2011
ISBN
978-80-7372-755-0
ISSN
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e-ISSN
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Počet stran výsledku
9
Strana od-do
488-496
Název nakladatele
TU Liberec
Místo vydání
Liberec
Místo konání akce
Liberec, Ekonomická fakulta, TUL
Datum konání akce
19. 9. 2011
Typ akce podle státní příslušnosti
WRD - Celosvětová akce
Kód UT WoS článku
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