Some Results on Foreign Equity Portfolio Risk Backtesting via Lévy Ordinary Copula Model
Journal Title: Journal of Competitiveness - Year 2012, Vol 4, Issue 2
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.
Authors and Affiliations
Aleš Kresta, Tomáš Tichý
Keywords
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- EP ID EP161156
- DOI 10.7441/joc.2012.02.06
- Views 146
- Downloads 0
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