Some findings about risk estimation and backtesting at the world FX rate market

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F12%3A86083109" target="_blank" >RIV/61989100:27510/12:86083109 - 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

Some findings about risk estimation and backtesting at the world 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 price returns is suddenly increased and market prices can potentially fall down. However, the announcement can influence prices ofonly some assets, while prices of others may remain relatively stable. It follows that a different risk type indicates a need for distinct methods of risk modelling, measuring and managing. In this paper we continue in our previous research and try to identify if there is any similarity in risk estimation model performance across particular world FX rate markets and provide the most important findings about the (dis)similarities with special attention to (former) transitional economies of Europe and Asia-Pacific regions. In particular, we apply VG and NIG models of marginal distribution for VaR calculation and backtesting and use JPY and USD currencies as examples of global FX rates with potentially low tights to the regional evolution.

Název v anglickém jazyce

Some findings about risk estimation and backtesting at the world FX rate market

Popis výsledku anglicky

Financial markets are very sensitive to all kinds of risk. Immediately after any unexpected announcement the volatility of price returns is suddenly increased and market prices can potentially fall down. However, the announcement can influence prices ofonly some assets, while prices of others may remain relatively stable. It follows that a different risk type indicates a need for distinct methods of risk modelling, measuring and managing. In this paper we continue in our previous research and try to identify if there is any similarity in risk estimation model performance across particular world FX rate markets and provide the most important findings about the (dis)similarities with special attention to (former) transitional economies of Europe and Asia-Pacific regions. In particular, we apply VG and NIG models of marginal distribution for VaR calculation and backtesting and use JPY and USD currencies as examples of global FX rates with potentially low tights to the regional evolution.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/ED1.1.00%2F02.0070" target="_blank" >ED1.1.00/02.0070: Centrum excelence IT4Innovations</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>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 statě ve sborníku

Proceedings of 30th International Conference Mathematical Methods in Economics : 11-13 September 2012, Karviná, Czech Republic

ISBN

978-80-7248-779-0

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

897-902

Název nakladatele

Slezská univerzita v Opavě

Místo vydání

Opava

Místo konání akce

Karviná

Datum konání akce

11. 9. 2012

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000317528600069