dc.creator | Anđelić, Goran | |
dc.creator | Đaković, Vladimir | |
dc.creator | Sujić, Mirjana M. | |
dc.date.accessioned | 2023-04-07T13:52:00Z | |
dc.date.available | 2023-04-07T13:52:00Z | |
dc.date.issued | 2012 | |
dc.identifier.issn | 0350-0373 | |
dc.identifier.uri | https://redun.educons.edu.rs/handle/123456789/129 | |
dc.description.abstract | 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. | sr |
dc.description.abstract | The subject of the research is to test and analyze VaR (Value-at-Risk) methods of market risk management on the financial market of the Republic of Serbia. Thus, concrete research is conducted in the period 2005 - 2011, with the goal of VaR methods performance assessment on the Serbian financial market. The tested VaR methods are Historical simulation (HS) and Delta normal VaR with 95% and 99% confidence level for 50, 100, 200 and 250 days. BELEX15 stock index of the Belgrade Stock Exchange, which comprises of 15 most liquid securities of the Serbian financial market, is used as a benchmark indicator of the conditions on the Serbian financial market. The goals which are intended for achieving in the research are focused to Historical simulation (HS) and Delta normal VaR performance assessment on, according to many criteria, 'specific'-transitory financial market of the Republic of Serbia. The basic goal of the research is to come to concrete, practically tested, knowledge about the possibility and performance of VaR methods application on the financial market of the Republic of Serbia in function of investment decisions optimizing. Research results point to the necessity of VaR methods application in market risk management on the financial market of the Republic of Serbia. | en |
dc.publisher | Ekonomski institut, Beograd | |
dc.relation | info:eu-repo/grantAgreement/MESTD/Technological Development (TD or TR)/34014/RS// | |
dc.rights | openAccess | |
dc.rights.uri | https://creativecommons.org/licenses/by-sa/4.0/ | |
dc.source | Industrija | |
dc.subject | Value-at-Risk | sr |
dc.subject | upravljanje rizicima | sr |
dc.subject | tržišni rizik | sr |
dc.subject | istorijska simulacija | sr |
dc.subject | delta normal VaR | sr |
dc.subject | Value-at-Risk | en |
dc.subject | risk management | en |
dc.subject | market risk | en |
dc.subject | historical simulation | en |
dc.subject | delta normal VaR | en |
dc.title | An empirical evaluation of Value-at-Risk: The case of the Belgrade Stock Exchange index - BELEX15 | en |
dc.type | article | |
dc.rights.license | BY-SA | |
dc.citation.epage | 60 | |
dc.citation.issue | 1 | |
dc.citation.other | 40(1): 39-60 | |
dc.citation.rank | M24 | |
dc.citation.spage | 39 | |
dc.citation.volume | 40 | |
dc.identifier.fulltext | http://redun.educons.edu.rs/bitstream/id/15/126.pdf | |
dc.identifier.rcub | conv_75 | |
dc.type.version | publishedVersion | |