≣ MENU

Search For:  
Czech |  English

Journal of Competitiveness

Some Results on Foreign Equity Portfolio Risk Backtesting via Lévy Ordinary Copula Model

Kresta Aleš, Tichý Tomáš

Keywords:
backtesting, market risk, model validation, subordinated Lévy model, ordinary elliptical copula function.

Abstract:
The soundness of risk monitoring and measuring systems is a key point for the reliability of financial institutions. One of the features of a reliable risk model is that it passes a backtesting procedure – a comparison of the one step ahead risk estimation and a true loss occurred on a given day – without any troubles. Within this paper, basic tests to backtesting procedure due to Kupiec, Christoffersen and Haas are applied on a portfolio sensitive to equity and FX rate risk. In particular details, we focus on NIG model and its variants due to various time spans used for parameter estimation. We document a significant improvement of such tail risk models on several portfolio positions.

Fulltext download:

Some Results on Foreign Equity Portfolio Risk Backtesting via Lévy Ordinary Copula Model [PDF file] [Filesize: 857.76 KB]

10.7441/joc.2012.02.06


Kresta, A., Tichý, T.(2012). Some Results on Foreign Equity Portfolio Risk Backtesting via Lévy Ordinary Copula Model. Journal of Competitiveness, 4 (2), 85-96. https://doi.org/10.7441/joc.2012.02.06

Journal of Competitiveness

  

Copyright © 2009-2022 Tomas Bata University in Zlin.
Search powered by Google™

ISSN 1804-171X (Print); eISSN 1804-1728 (On-line)


Creative Commons License
The journal offers access to the contents in the open access system on the principles license Creative Commons (CC BY 4.0).