Parametarska i neparametarska VaR procena dnevnih prinosa
Parametric and nonparametric VaR daily returns estimation
Abstract
Uvažavajući aktuelne trendove i tržišne prilike na tranzitornim tržištima, predmet istraživanja u radu jeste analiziranje i kvantifikacija različitih modela merenja Value at Risk-a (VaR) u svetlu uspešnosti procene rizika od aktivnosti investiranja na domicilnom tržištu. Cilj koji se želi ostvariti istraživanjem jeste dolaženje do niza kvalitativnih i kvantitativnih informacija o mogućnostima uspešnosti primene različitih modela VaR-a u donošenju odluka o investiranju, a u funkciji minimiziranja rizika od aktivnosti investiranja. Istraživanje je fokusirano na domicilno finansijsko tržište i obuhvata period od 2006-2012 godine. Metodologija istraživanja podrazumeva primenu analize MANOVA, diskriminativne analize i Roy-evog testa, a prilagođena je specifičnostima tranzitornog tržišta Republike Srbije. Rezultati istraživanja potvrđuju istaknuto mesto, ulogu i značaj različitih modela VaR-a u svetlu kvantifikacije rizika od aktivnosti investiranja na domicilnom tržištu, uz ukazivanje na sp...ecifičnosti razlika između pojedinih modela VaR-a. U tom smislu, dobijeni rezultati će biti korisni kako akademskoj zajednici, tako i stručnoj javnosti u kontekstu uspešne primene različitih modela VaR-a prilikom donošenja odluka o aktivnostima investiranja.
Taking into account current trends and opportunities in the transitional markets, the subject of the research is to analyze and quantify the different Value at Risk (VaR) calculation models in the light of investment risk assessment performance in the domestic market. The research objective is to gain a series of qualitative and quantitative information about the possibilities of effective application of different VaR models in investment decision-making in order to minimize risks of investment activities. The research focuses on the domestic financial market and covers the period 2006-2012. The research methodology involves the use of MANOVA analysis, discriminant analysis, and Roy's test, and is adapted to the specific characteristics of the transitional market of the Republic of Serbia. The research results confirm the prominent place, role and importance of different VaR models in the light of the investment risk quantification in the domestic market, with reference to the specific...ities between particular VaR models. In this sense, the results will be useful both for academic and professional communities, in the context of the successful application of different VaR models in decision-making about investment activities.
Keywords:
VaR model / Value at Risk / Teorija ekstremnih vrednosti / rizik / Istorijska simulacija / investiranje / Delta normal VaR / VaR model / Value at Risk / Risk / Investment / Historical Simulation / Extreme Value Theory / Delta normal VaRSource:
Industrija, 2014, 42, 4, 43-54Publisher:
- Ekonomski institut, Beograd
Funding / projects:
- Advancing Serbia's Competitiveness in the Process of EU Accession (RS-MESTD-Integrated and Interdisciplinary Research (IIR or III)-47028)
- Organizational and information support to the quality management system as a key factor in improving the competitiveness of domestic enterprises and ensuring their faster access to world and EU markets (RS-MESTD-Basic Research (BR or ON)-179001)
Collections
Institution/Community
Fakultet zaštite životne sredineTY - JOUR AU - Đaković, Vladimir AU - Anđelić, Goran AU - Ljumović, Isidora Lj. PY - 2014 UR - https://redun.educons.edu.rs/handle/123456789/238 AB - Uvažavajući aktuelne trendove i tržišne prilike na tranzitornim tržištima, predmet istraživanja u radu jeste analiziranje i kvantifikacija različitih modela merenja Value at Risk-a (VaR) u svetlu uspešnosti procene rizika od aktivnosti investiranja na domicilnom tržištu. Cilj koji se želi ostvariti istraživanjem jeste dolaženje do niza kvalitativnih i kvantitativnih informacija o mogućnostima uspešnosti primene različitih modela VaR-a u donošenju odluka o investiranju, a u funkciji minimiziranja rizika od aktivnosti investiranja. Istraživanje je fokusirano na domicilno finansijsko tržište i obuhvata period od 2006-2012 godine. Metodologija istraživanja podrazumeva primenu analize MANOVA, diskriminativne analize i Roy-evog testa, a prilagođena je specifičnostima tranzitornog tržišta Republike Srbije. Rezultati istraživanja potvrđuju istaknuto mesto, ulogu i značaj različitih modela VaR-a u svetlu kvantifikacije rizika od aktivnosti investiranja na domicilnom tržištu, uz ukazivanje na specifičnosti razlika između pojedinih modela VaR-a. U tom smislu, dobijeni rezultati će biti korisni kako akademskoj zajednici, tako i stručnoj javnosti u kontekstu uspešne primene različitih modela VaR-a prilikom donošenja odluka o aktivnostima investiranja. AB - Taking into account current trends and opportunities in the transitional markets, the subject of the research is to analyze and quantify the different Value at Risk (VaR) calculation models in the light of investment risk assessment performance in the domestic market. The research objective is to gain a series of qualitative and quantitative information about the possibilities of effective application of different VaR models in investment decision-making in order to minimize risks of investment activities. The research focuses on the domestic financial market and covers the period 2006-2012. The research methodology involves the use of MANOVA analysis, discriminant analysis, and Roy's test, and is adapted to the specific characteristics of the transitional market of the Republic of Serbia. The research results confirm the prominent place, role and importance of different VaR models in the light of the investment risk quantification in the domestic market, with reference to the specificities between particular VaR models. In this sense, the results will be useful both for academic and professional communities, in the context of the successful application of different VaR models in decision-making about investment activities. PB - Ekonomski institut, Beograd T2 - Industrija T1 - Parametarska i neparametarska VaR procena dnevnih prinosa T1 - Parametric and nonparametric VaR daily returns estimation EP - 54 IS - 4 SP - 43 VL - 42 DO - 10.5937/industrija42-5983 UR - conv_85 ER -
@article{ author = "Đaković, Vladimir and Anđelić, Goran and Ljumović, Isidora Lj.", year = "2014", abstract = "Uvažavajući aktuelne trendove i tržišne prilike na tranzitornim tržištima, predmet istraživanja u radu jeste analiziranje i kvantifikacija različitih modela merenja Value at Risk-a (VaR) u svetlu uspešnosti procene rizika od aktivnosti investiranja na domicilnom tržištu. Cilj koji se želi ostvariti istraživanjem jeste dolaženje do niza kvalitativnih i kvantitativnih informacija o mogućnostima uspešnosti primene različitih modela VaR-a u donošenju odluka o investiranju, a u funkciji minimiziranja rizika od aktivnosti investiranja. Istraživanje je fokusirano na domicilno finansijsko tržište i obuhvata period od 2006-2012 godine. Metodologija istraživanja podrazumeva primenu analize MANOVA, diskriminativne analize i Roy-evog testa, a prilagođena je specifičnostima tranzitornog tržišta Republike Srbije. Rezultati istraživanja potvrđuju istaknuto mesto, ulogu i značaj različitih modela VaR-a u svetlu kvantifikacije rizika od aktivnosti investiranja na domicilnom tržištu, uz ukazivanje na specifičnosti razlika između pojedinih modela VaR-a. U tom smislu, dobijeni rezultati će biti korisni kako akademskoj zajednici, tako i stručnoj javnosti u kontekstu uspešne primene različitih modela VaR-a prilikom donošenja odluka o aktivnostima investiranja., Taking into account current trends and opportunities in the transitional markets, the subject of the research is to analyze and quantify the different Value at Risk (VaR) calculation models in the light of investment risk assessment performance in the domestic market. The research objective is to gain a series of qualitative and quantitative information about the possibilities of effective application of different VaR models in investment decision-making in order to minimize risks of investment activities. The research focuses on the domestic financial market and covers the period 2006-2012. The research methodology involves the use of MANOVA analysis, discriminant analysis, and Roy's test, and is adapted to the specific characteristics of the transitional market of the Republic of Serbia. The research results confirm the prominent place, role and importance of different VaR models in the light of the investment risk quantification in the domestic market, with reference to the specificities between particular VaR models. In this sense, the results will be useful both for academic and professional communities, in the context of the successful application of different VaR models in decision-making about investment activities.", publisher = "Ekonomski institut, Beograd", journal = "Industrija", title = "Parametarska i neparametarska VaR procena dnevnih prinosa, Parametric and nonparametric VaR daily returns estimation", pages = "54-43", number = "4", volume = "42", doi = "10.5937/industrija42-5983", url = "conv_85" }
Đaković, V., Anđelić, G.,& Ljumović, I. Lj.. (2014). Parametarska i neparametarska VaR procena dnevnih prinosa. in Industrija Ekonomski institut, Beograd., 42(4), 43-54. https://doi.org/10.5937/industrija42-5983 conv_85
Đaković V, Anđelić G, Ljumović IL. Parametarska i neparametarska VaR procena dnevnih prinosa. in Industrija. 2014;42(4):43-54. doi:10.5937/industrija42-5983 conv_85 .
Đaković, Vladimir, Anđelić, Goran, Ljumović, Isidora Lj., "Parametarska i neparametarska VaR procena dnevnih prinosa" in Industrija, 42, no. 4 (2014):43-54, https://doi.org/10.5937/industrija42-5983 ., conv_85 .