Posouzení odhadu měnového rizika portfolia pomocí Lévyho modelů
[Examination of Portfolio Currency Risk Estimation by Means of Lévy Models]
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References listed on IDEAS
- Mejra Festić & Dejan Romih, 2008. "Cyclicality of the banking sector performance and macro environment in the Czech republic, Slovakia and Slovenia," Prague Economic Papers, University of Economics, Prague, vol. 2008(2), pages 99-117.
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More about this item
Keywordsvariance gamma model; normal inverse Gaussian model; Lévy models; ordinary elliptical copula function; financial risk; backtesting;
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G2 - Financial Economics - - Financial Institutions and Services
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