Currency risk modelling by GARCH-copula model

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Currency risk modelling by GARCH-copula model

Popis výsledku v původním jazyce

Time series modelling and subsequent risk estimation is difficult and important activity of any financial institution. Financial time series are characterized by volatility clustering and heavy-tailed distribution of returns. Both these characteristics have a great influence for risk estimation. Especially when modelling more-dimensional probability distribution, shocks in terms of extreme losses (or returns) in particular risk drivers are usually more correlated than the losses (returns) closer to themean. In this paper we focus on GARCH-copula models. The copula functions are the tool which allows us to model the dependence among individual risk drivers. On the other hand, GARCH model allows depicting the volatility clustering. Concretely, GARCH model with Student distribution of innovations and various copula functions are assumed in the paper. These joined models are backtested on chosen dataset and VaR exceedances (i.e. their quantity and distribution in time) are statistically t

Název v anglickém jazyce

Currency risk modelling by GARCH-copula model

Popis výsledku anglicky

Time series modelling and subsequent risk estimation is difficult and important activity of any financial institution. Financial time series are characterized by volatility clustering and heavy-tailed distribution of returns. Both these characteristics have a great influence for risk estimation. Especially when modelling more-dimensional probability distribution, shocks in terms of extreme losses (or returns) in particular risk drivers are usually more correlated than the losses (returns) closer to themean. In this paper we focus on GARCH-copula models. The copula functions are the tool which allows us to model the dependence among individual risk drivers. On the other hand, GARCH model allows depicting the volatility clustering. Concretely, GARCH model with Student distribution of innovations and various copula functions are assumed in the paper. These joined models are backtested on chosen dataset and VaR exceedances (i.e. their quantity and distribution in time) are statistically t

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2013

Kód důvěrnosti údajů

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

Název statě ve sborníku

Financial Regulation and Supervision in the After-Crisis Period : proceedings of 14th International Conference on Finance and Banking : Ostrava, Czech Republic, 16 - 17 October 2013

ISBN

978-80-7248-892-6

ISSN

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e-ISSN

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Počet stran výsledku

12

Strana od-do

210-221

Název nakladatele

Silesian University, School of Business Administration

Místo vydání

Karviná

Místo konání akce

Ostrava

Datum konání akce

16. 10. 2013

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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