{"entities":{"Q544463":{"pageid":546230,"ns":120,"title":"Item:Q544463","lastrevid":56726973,"modified":"2026-03-19T10:41:56Z","type":"item","id":"Q544463","labels":{"en":{"language":"en","value":"VaR: exchange rate risk and jump risk"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 5907947"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q544463$97476855-F12C-4913-937A-2A48D4BFD847","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"d45607e61a98ccc9751628b50d8844fc9f619c98","datavalue":{"value":{"text":"VaR: exchange rate risk and jump risk","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q544463$BEB33CE6-3109-408C-86BE-1268E6A971B8","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"16c292b5401c6ced0bb6371fc18bacd7ecba0dbb","datavalue":{"value":"1214.91139","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q544463$E70C1352-F003-4CE3-A5B9-E82CE669E03F","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"8661a685abf9b6c52c834a17d3110a74d43ec620","datavalue":{"value":"10.1155/2010/196461","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q544463$EBF31DEA-1FDB-42DA-A37C-A7FDDEED7A8F","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"bab48cd5d1a7184c0f934689cf507800bdba78f0","datavalue":{"value":{"entity-type":"item","numeric-id":544462,"id":"Q544462"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q544463$5A86C40A-7D7D-4723-B3A9-5FD959E27BEB","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"291dfa4bea40517409b4ae31a6cee6f850f4be90","datavalue":{"value":{"entity-type":"item","numeric-id":117358,"id":"Q117358"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q544463$458B620E-E1E8-45BF-828B-426C125CF4A2","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"04f456b7978a84082d01cb786803df58ce3a680c","datavalue":{"value":{"time":"+2011-06-15T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q544463$744F6291-18E1-456B-8D0F-2A57EF7EE391","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"ddc048c82d79b79c57c804e8571112c0916ec326","datavalue":{"value":"https://eudml.org/doc/227439","type":"string"},"datatype":"url"},"type":"statement","id":"Q544463$EF8E6B39-8215-48E2-A8B9-AE828EA27D6B","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"412ca2d0371944105070f556369e51c6e8179079","datavalue":{"value":"Summary: Incorporating the Poisson jumps and exchange rate risk, this paper provides an analytical VaR to manage market risk of international portfolios over the subprime mortgage crisis. There are some properties in the model. First, different from past studies in portfolios valued only in one currency, this model considers portfolios not only with jumps but also with exchange rate risk, that is vital for investors in highly integrated global financial markets. Second, in general, the analytical VaR solution is more accurate than historical simulations in terms of backtesting and Christoffersen's independence test (1998) for small portfolios and large portfolios. In other words, the proposed model is reliable not only for a portfolio on specific stocks but also for a large portfolio. Third, the model can be regarded as the extension of that of Kupiec (1999) and Chen and Liao (2009).","type":"string"},"datatype":"string"},"type":"statement","id":"Q544463$27B62D53-1F09-4984-AD20-56D28C28B5F6","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"5aebd1e2f37ac7804756da25eed3c017810ad161","datavalue":{"value":"91G70","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q544463$060BA2D6-64BD-45CB-B2AD-2586C88402C7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"23a0300312e4895eb419bd6ce7bc42505dc963fd","datavalue":{"value":"91G40","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q544463$FA67A41C-217A-4FD8-9263-EBC5061B771C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"4a8fc00d3d69e1837f024970c798053ff342d011","datavalue":{"value":"62P05","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q544463$212EC4F8-BC7E-4019-A13F-116797103FE4","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"745bb176271cc988c638a66433a92b12e98c80e1","datavalue":{"value":"5907947","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q544463$BD938C05-1E40-4892-9B9D-650C33235F1C","rank":"normal"}],"P12":[{"mainsnak":{"snaktype":"value","property":"P12","hash":"fa10bafab8b97fbd7db272323e129b7bbe447124","datavalue":{"value":"Q58652645","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q544463$5C410663-0805-45E5-9FED-0CC76D2E3E23","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q544463$BAA01657-9E48-406B-A314-94EDE57AA612","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"a46a783ce5dd497efde07cbce83e99472687c16c","datavalue":{"value":"W1982916850","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q544463$CD7F7A18-1F2E-4FF5-9AD4-13D6AE71048E","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"efdfdd98637f9a414ce12234f3baac5957d3d8b8","datavalue":{"value":{"entity-type":"item","numeric-id":4791734,"id":"Q4791734"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q544463$5F06DBD4-F05C-436B-B1F7-1D855B846282","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"a4a7063829004c41e1f7a444e52f4703a68e0588","datavalue":{"value":{"entity-type":"item","numeric-id":5374080,"id":"Q5374080"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q544463$276DA5C6-1C87-4108-B5C0-CE88BE97C6A0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"05b757930189ff72f449b9f9dad4a7865d3f627d","datavalue":{"value":{"entity-type":"item","numeric-id":5452379,"id":"Q5452379"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q544463$E526F999-1FF2-4D43-B225-49F0BE5E3BFA","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"f86bf3bfc68363c1a1bf2b1fdbe63c7428ae6032","datavalue":{"value":{"entity-type":"item","numeric-id":662223,"id":"Q662223"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"3d3eeb403a592652aeb4bed922bc8c69443d0170","datavalue":{"value":{"amount":"+0.8997462391853333","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q544463$72FC5903-4B58-4D2D-85DE-07BA0DD3ACFC","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"3422f9325ca53e2bfb7c9e2c9038006a3b8cdbfa","datavalue":{"value":{"entity-type":"item","numeric-id":5936313,"id":"Q5936313"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"a50884c24f9469351f30feca5e7c023339f0567c","datavalue":{"value":{"amount":"+0.783412754535675","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q544463$2D181715-4B99-4B3F-AB63-A8CEE6108E65","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"eeca5a049602c405fd7f6a5e29e5065d65891d0a","datavalue":{"value":{"entity-type":"item","numeric-id":1732977,"id":"Q1732977"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"a50884c24f9469351f30feca5e7c023339f0567c","datavalue":{"value":{"amount":"+0.783412754535675","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q544463$0A0424FD-5595-45FC-BDC4-90A3920AFD7E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"77e3db784dd51f9719b17e6d54348ffc581025b5","datavalue":{"value":{"entity-type":"item","numeric-id":5440101,"id":"Q5440101"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"4926f9b0b5e93bb8903fac7f3829e2befacfd826","datavalue":{"value":{"amount":"+0.7308031320571899","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q544463$33C7B80C-2B9E-4D52-9CEE-5236A7307F33","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"f6ff28546f89b91ccdeca35752c8b7d700fec4ef","datavalue":{"value":{"entity-type":"item","numeric-id":3368401,"id":"Q3368401"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"c9be0644ad25f19f9901a4f8bc736940f4c3117f","datavalue":{"value":{"amount":"+0.7303099632263184","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q544463$07AC2320-E4F7-4C9C-94FA-151D42A139F5","rank":"normal"}],"P163":[{"mainsnak":{"snaktype":"value","property":"P163","hash":"45fcd4163b5f33e6e8c784f5522d7246c0a1a61e","datavalue":{"value":{"entity-type":"item","numeric-id":57056,"id":"Q57056"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q544463$A4DF967C-F96A-48B5-BF6D-DD8FDB70B755","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:544463","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:544463"}}}}}