Efficient Risk Models: Application of DEA Approach

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86090952" target="_blank" >RIV/61989100:27510/14:86090952 - 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

Efficient Risk Models: Application of DEA Approach

Popis výsledku v původním jazyce

Risk estimation is an important activity of any financial institution. Necessary part of risk estimation is financial time series modelling, which is challenging task due to specific features of financial time series. Suitability of any risk models can be assessed by the so-called backtesting procedure. Applying this procedure we obtain the number of violations, i.e. the cases in which observed loss is higher than estimated risk (mostly measured as VaR). For accurate model the quantity of VaR violations in the long term should converge to the quantity expected. It can be computed as the risk level multiplied by the number of backtesting days. The lower the difference between observed and expected quantities, the more accurate the model is. However, we can assume various risk levels. Then, the selection of the best model will become difficult, or even impossible. However, we can construct the set of efficient models, for example, using a data envelope analysis (DEA) approach.

Název v anglickém jazyce

Efficient Risk Models: Application of DEA Approach

Popis výsledku anglicky

Risk estimation is an important activity of any financial institution. Necessary part of risk estimation is financial time series modelling, which is challenging task due to specific features of financial time series. Suitability of any risk models can be assessed by the so-called backtesting procedure. Applying this procedure we obtain the number of violations, i.e. the cases in which observed loss is higher than estimated risk (mostly measured as VaR). For accurate model the quantity of VaR violations in the long term should converge to the quantity expected. It can be computed as the risk level multiplied by the number of backtesting days. The lower the difference between observed and expected quantities, the more accurate the model is. However, we can assume various risk levels. Then, the selection of the best model will become difficult, or even impossible. However, we can construct the set of efficient models, for example, using a data envelope analysis (DEA) approach.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50206 - Finance

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)<br>S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název statě ve sborníku

CIE 2014 - 44th International Conference on Computers and Industrial Engineering and IMSS 2014 - 9th International Symposium on Intelligent Manufacturing and Service Systems...

ISBN

978-1-63439-679-0

ISSN

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e-ISSN

neuvedeno

Počet stran výsledku

12

Strana od-do

976-987

Název nakladatele

Curran Associates

Místo vydání

New York

Místo konání akce

Istanbul

Datum konání akce

14. 10. 2014

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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