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: | Kresta Aleš, Tichý Tomáš |
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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 |
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