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Industrija
2018, vol. 46, br. 2, str. 99-115
jezik rada: engleski
vrsta rada: izvorni naučni članak
doi:10.5937/industrija46-16666

Creative Commons License 4.0
Kvantifikovanje ekstremnov tržišnog rizika na izabranim zemljama Zapadnog Balkana
aTechnical college at applied studies, Kragujevac
bFaculty of Management, Sremski Karlovci
cHigh School of Business Studies, Blace

e-adresa: radivojevic034@gmail.com

Sažetak

Cilj rada je da se ispita uspšnost bezuslovnog i uslovnih VaR i ES modela zasnovanih na EVT. U radu je testirana aplikativnost jednog bezuslovnog VaR i ES modela zasnvana na EVT i tri varijante uslovnih modela VaR i ES zasnovanih na EVT na tržištima kapitala izabranih zemalja Zapadnog Balkana. Za testiranje VaR modela korišćen je test uslovnog i bezuslonog pokrića, uz napomenu da su njihovi rezultati podvrgnuti verifikaciji primenom Monte Carlo test procedure. Dobijeni podaci sugerišu da se ovi modeli mogu uspešno koristiti za kvantifikovanje ekstemnog trežšinog rizika na izabranim tržišitma, u kontekstu Bazelskih standarda. ES modeli su testirani i rangirani primenom fukcije gubitka. Primenom bootstrap simulacije ovi rezultati su podvrgnuti verifikacji. Dobijeni podaci ne otkrivaju koji je model najadekvatniji za izbrana tržišta, budući da su na različitim tržištima različito rangirani.

Ključne reči

Vrednost pri riziku; očekivani gubitak; teorija ekstremnevrednosti; tržištni rizik

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