Posouzení odhadu měnového rizika portfolia pomocí Lévyho modelů

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dc.contributor.authorTichý, Tomáš
dc.date.accessioned2010-10-19T13:42:59Z
dc.date.available2010-10-19T13:42:59Z
dc.date.issued2010
dc.description.abstract-enFinancial risk modeling, measuring, and managing are an inherent part of management in financial institutions. It is also an important step within the setting of optimal level of capital eligible to cover risk exposures. A significant portion of capital is usually assigned to cover the risk of unexpected changes in FX rates. FX rates (the returns) commonly exhibit significant skewness and relatively huge kurtosis. In this paper, we apply subordinated Lévy models coupled together by ordinary elliptical copula functions in order to estimate the FX rate risk of normalized portfolio. Selected models are applied in order to estimate the risk ex-post, as well as ex-ante. The models are also compared to the more standard assumption of the joint normal distribution. Although the results for both types of modeling are quite different and Lévy measure is ignored, suggested models deliver us improved risk estimation.
dc.format.extent349110 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.citationPolitická ekonomie. 2010, roč. 58, č. 4, s. 504-521.en
dc.identifier.doi10.18267/j.polek.744
dc.identifier.issn0032-3233
dc.identifier.issn2336-8225
dc.identifier.locationVe fondu ÚKen
dc.identifier.urihttp://hdl.handle.net/10084/83237
dc.identifier.wos000282356600005
dc.language.isocsen
dc.publisherVysoká škola ekonomická v Prazeen
dc.relation.ispartofseriesPolitická ekonomieen
dc.relation.urihttps://doi.org/10.18267/j.polek.744
dc.rightsCreative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
dc.rights.accessopenAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectbacktestingen
dc.subjectfinancial risken
dc.subjectLévy modelsen
dc.subjectnormal inverse Gaussian modeen
dc.subjectordinary elliptical copula functionen
dc.subjectvariance gamma modelen
dc.titlePosouzení odhadu měnového rizika portfolia pomocí Lévyho modelůen
dc.title.alternativeExamination of portfolio currency risk estimation by means of Lévy modelsen
dc.typearticleen

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