International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F12%3A86082981" target="_blank" >RIV/61989100:27510/12:86082981 - 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 Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions

Popis výsledku v původním jazyce

Financial risk modeling and management are very important and challenging tasks for financial institutions? quantitative units. Owing to the complex nature of portfolios, and given recent financial market developments, contemporary research is focused ontail modeling and/or dependency modeling. The main objective of this paper is to examine the potential contribution of Lévy-based subordinated models coupled by ordinary elliptical copula functions to the estimation of the distribution pattern of international equity portfolios. The authors observe that the subordinated NIG model coupled with the Student copula function, and in particular its combined estimation version, allows them to get very good estimates of portfolio risk measures.

Název v anglickém jazyce

International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions

Popis výsledku anglicky

Financial risk modeling and management are very important and challenging tasks for financial institutions? quantitative units. Owing to the complex nature of portfolios, and given recent financial market developments, contemporary research is focused ontail modeling and/or dependency modeling. The main objective of this paper is to examine the potential contribution of Lévy-based subordinated models coupled by ordinary elliptical copula functions to the estimation of the distribution pattern of international equity portfolios. The authors observe that the subordinated NIG model coupled with the Student copula function, and in particular its combined estimation version, allows them to get very good estimates of portfolio risk measures.

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

2012

Kód důvěrnosti údajů

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

Název periodika

Finance a úvěr - Czech Journal of Economics and Finance

ISSN

0015-1920

e-ISSN

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Svazek periodika

62

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

21

Strana od-do

141-161

Kód UT WoS článku

000303969200004

EID výsledku v databázi Scopus

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