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Industrija
2012, vol. 40, br. 1, str. 39-60
jezik rada: engleski
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An empirical evaluation of Value-at-Risk: The case of the Belgrade Stock Exchange index - BELEX15
(naslov ne postoji na srpskom)
aUniverzitet EDUCONS, Fakultet za uslužni biznis, Sremska Kamenica
bUniverzitet u Novom Sadu, Fakultet tehničkih nauka

e-adresa: v_djakovic@uns.ac.rs

Projekat Ministarstva nauke Republike Srbije, br. 34014

Sažetak

Predmet istraživanja u radu je testiranje i analiziranje VaR (Value-at-Risk) metoda upravljanja tržišnim rizikom na finansijskom tržištu Republike Srbije. U tu svrhu u radu je sprovedeno konkretno istraživanje koje obuhvata period od 2005. do 2011. godine, sa ciljem procene uspešnosti VaR metoda na srpskom finansijskom tržištu. Testirani VaR metodi su istorijska simulacija (HS) i delta normal VaR sa nivoom pouzdanosti od 95% i 99% za 50, 100, 200 i 250 dana. Kao reperni pokazatelj stanja i prilika na srpskom finansijskom tržištu korišćen je BELEX15 indeks Beogradske berze, koji u sebi obuhvata 15 najlikvidnijih hartija od vrednosti srpskog finansijskog tržišta. Ciljevi koji se teže ostvariti istraživanjem su usmereni u pravcu procene uspešnosti primene istorijske simulacije (HS) i delta normal VaR-a na, po mnogim kriterijumima, 'specifičnom'-tranzitornom finansijskom tržištu Republike Srbije. Osnovni cilj istraživanja jeste dolaženje do konkretnih, u praksi testiranih, saznanja o mogućnostima i uspešnosti primene VaR metoda na finansijskom tržištu Republike Srbije u funkciji optimizacije odluka o investiranju. Rezultati istraživanja ukazuju na neophodnost primene VaR metoda upravljanja tržišnim rizikom na finansijskom tržištu Republike Srbije.

Ključne reči

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