Some Results on Foreign Equity Portfolio Risk Backtesting via Lévy Ordinary Copula Model
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 – w...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Tomas Bata University in Zlín
2012-06-01
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| Series: | Journal of Competitiveness |
| Subjects: | |
| Online Access: | http://www.cjournal.cz/files/97.pdf |