International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions

Ales Kresta () and Tomas Tichy ()
Additional contact information
Ales Kresta: Department of Finance, Faculty of Economics, VŠB-TU Ostrava, http://www.ekf.vsb.cz/en/okruhy/faculty/
Tomas Tichy: Department of Finance, Faculty of Economics, VŠB-TU Ostrava, http://www.ekf.vsb.cz/en/okruhy/faculty/

Czech Journal of Economics and Finance (Finance a uver), 2012, vol. 62, issue 2, 141-161

Abstract: Financial risk modeling and management are very important and challenging tasks for financial institutions’ quantitative units. Owing to the complex nature of portfolios, and given recent financial market developments, contemporary research is focused on tail modeling and/or dependency modeling. The main objective of this paper is to examine the potential contribution of Lévy-based subordinated models coupled by ordinary elliptical copula functions to the estimation of the distribution pattern of international equity portfolios. The authors observe that the subordinated NIG model coupled with the Student copula function, and in particular its combined estimation version, allows them to get very good estimates of portfolio risk measures.

Keywords: market risk; backtesting; subordinated Lévy model; VaR (search for similar items in EconPapers)
JEL-codes: C53 D53 G17 G24 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://journal.fsv.cuni.cz/storage/1244_kresta.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:62:y:2012:i:2:p:141-161

Access Statistics for this article

More articles in Czech Journal of Economics and Finance (Finance a uver) from Charles University Prague, Faculty of Social Sciences Contact information at EDIRC.
Bibliographic data for series maintained by Natalie Svarcova ().