International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions
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References listed on IDEAS
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- Monika Brzezińska & Katarzyna Guhn, 2013. "Planning of sales on the example of companies in the paper industry and wholesale of chemical products," Working Papers hal-00812840, HAL.
- Katarzyna Guhn, 2013. "Krotkoterminowe planowanie finansowe na przykladzie przedsiebiorstwa z branzy sprzedaz hurtowa wyrobow chemicznych," Working Papers hal-00816775, HAL.
More about this item
Keywordsmarket risk; backtesting; subordinated Lévy model; VaR;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
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