International equity risk modeling by NIG model

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F11%3A86079336" target="_blank" >RIV/61989100:27510/11:86079336 - 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

International equity risk modeling by NIG model

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 L'evy based subordinated NIG model as a tool to estimate the risk of positions in foreign equities. Inorder to model the joint evolution of equities and FX rates, Student and Gaussian copula functions are assumed, ie. marginal distributions in terms of NIG model are joined together. We examine several horizons to estimate the model parameters and evaluate the efficiency of risk measure by backtesting procedure. We also study the effect of particular positions, as well as the impact of single positions on the quality of risk estimation.

Název v anglickém jazyce

International equity risk modeling by NIG model

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 L'evy based subordinated NIG model as a tool to estimate the risk of positions in foreign equities. Inorder to model the joint evolution of equities and FX rates, Student and Gaussian copula functions are assumed, ie. marginal distributions in terms of NIG model are joined together. We examine several horizons to estimate the model parameters and evaluate the efficiency of risk measure by backtesting procedure. We also study the effect of particular positions, as well as the impact of single positions on the quality of risk estimation.

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

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 statě ve sborníku

Proceedings of the 29th International Conference on Mathematical Methods in Economics 2011 - part I

ISBN

978-80-7431-058-4

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

401-406

Název nakladatele

Professional Publishing

Místo vydání

Prague

Místo konání akce

Janska Dolina

Datum konání akce

6. 9. 2011

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000309074600066