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2020, vol. 17, br. 2, str. 45-64
Korelacioni efekat uticaja promene cena baznih i plemenitih metala na faktore kreditnog rizika
Megatrend Univerzitet, Beograd

e-adresavzivanovic@megatrend.edu.rs
Ključne reči: bazni i plemeniti metali; kreditni rizik; stopa difolta; stopa oporavka
Sažetak
Promene u cenama baznih i plemenitih metala na globalnom tržištu metala i njhov uticaj na faktore kreditnog rizika imaju signifikatni uticaj. Veza između ovih faktora bila je zanemarena tokom godina od strane tradicionalnih modela kreditnog rizika. Uključivanje korelacionih koeficijenata u okviru postavljenog modela kreditnog rizika pokazaće jačinu uticaja ovih promena na ostale varijable kreditnog rizika tokom posmatranih godina i uticaj ovih promena na verovatnoću difolta i stopu oporavka. U posmatranom modelu kreditnog rizika uzete su promene cena baznih metala sa Londoske berze metala (London Metal Exchange - LME) za olovo i cink i Londonskog udruženja pleminitih metala (London Bullion Metal Association - LBMA) za zlato i srebro kao plemenitih metala za period od 10 godina. Istraživanje je sprovedeno primenom modela multivarijacine regresione analize, a na bazi statističke ocene modela potvrđen je signifikatni uticaj svih posmatranih nezavisnih varijabli na zavisnu varijablu modela. Konstrukcijom predloženog modela koji ima dokazanu prediktibilnost dat je naučni značaj istraživanju koje uključuje varijable modela koje su različitih tržišta, ali koje imaju signifikatni uticaj na varijable sa finansijskog tržišta.
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O članku

jezik rada: engleski
vrsta rada: stručni članak
DOI: 10.5937/MegRev2002045Z
primljen: 26.03.2020.
prihvaćen: 17.05.2020.
objavljen u SCIndeksu: 18.11.2020.
Creative Commons License 4.0

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