%0 Journal Article
%T Some Results on Foreign Equity Portfolio Risk Backtesting via L¨¦vy Ordinary Copula Model
%A Kresta Ale£¿
%A Tichy Tom¨¢£¿
%J Journal of Competitiveness
%D 2012
%I Tomas Bata University, Zl¨ªn
%X 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 ¨C a comparison of the one step ahead risk estimation and a true loss occurred on a given day ¨C 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.
%K backtesting
%K market risk
%K model validation
%K subordinated L¨¦vy model
%K ordinary elliptical copula function
%U http://www.cjournal.cz/files/97.pdf