Interesting findings about risk estimation and backtesting at European FX rate market

Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F12%3A86083096" target="_blank" >RIV/61989100:27510/12:86083096 - isvavai.cz</a>
Výsledek na webu
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Jazyk výsledku
angličtina
Název v původním jazyce
Interesting findings about risk estimation and backtesting at European FX rate market
Popis výsledku v původním jazyce
Financial markets are very sensitive to all kinds of risk. Immediately after any unexpected announcement the volatility of market returns is suddenly increased and market prices can potentially fall down. However, the announcement can influence prices ofonly some assets, while prices of others remain stable. It follows that a different risk type indicates a need for distinct methods of risk modelling, measuring and managing. The purpose of this chapter is to identify if there is any similarity in riskestimation model performance across European FX rate market.
Název v anglickém jazyce
Interesting findings about risk estimation and backtesting at European FX rate market
Popis výsledku anglicky
Financial markets are very sensitive to all kinds of risk. Immediately after any unexpected announcement the volatility of market returns is suddenly increased and market prices can potentially fall down. However, the announcement can influence prices ofonly some assets, while prices of others remain stable. It follows that a different risk type indicates a need for distinct methods of risk modelling, measuring and managing. The purpose of this chapter is to identify if there is any similarity in riskestimation model performance across European FX rate market.

Rok uplatnění
2012
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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