An Empirical Examination of Investment Risk Management Models for Serbia, Hungary, Croatia and Slovenia
Апстракт
The research presented in the study is the analysis and implementation of parametric and non-parametric Value at Risk (VaR) calculation models for predicting risk and determining the maximum potential loss from investment activities. The study sample includes stock indices of Serbian (BELEX15), Hungarian (BUX), Croatian (CROBEX) and Slovenian (SBITOP) markets, from 1st January 2006 to 31st December 2012. The methodology connotes the use of analysis and synthesis, as well as relevant statistical and mathematical methods. The study is based on the assumption that there is no statistically significant difference among the different models of risk management, in relation to the performance of investment risk prediction in the markets of the observed transition economies. The main aim of the study is to assess the performances of risk management models in practice, in order to operationally optimize investment decisions. The research results indicate the implementation adequacy of the teste...d models in the observed transitional markets, with full consideration of their specifics.
Кључне речи:
value at risk / risk management / historical simulation / extreme value theory / delta normal VaRИзвор:
Acta Polytechnica Hungarica, 2015, 12, 4, 201-220Издавач:
- BUDAPEST TECH, BUDAPEST
Финансирање / пројекти:
- Унапређење конкурентности Србије у процесу приступања Европској унији (RS-MESTD-Integrated and Interdisciplinary Research (IIR or III)-47028)
Институција/група
Fakultet zaštite životne sredineTY - JOUR AU - Đaković, Vladimir AU - Mladenović, Igor AU - Anđelić, Goran PY - 2015 UR - https://redun.educons.edu.rs/handle/123456789/247 AB - The research presented in the study is the analysis and implementation of parametric and non-parametric Value at Risk (VaR) calculation models for predicting risk and determining the maximum potential loss from investment activities. The study sample includes stock indices of Serbian (BELEX15), Hungarian (BUX), Croatian (CROBEX) and Slovenian (SBITOP) markets, from 1st January 2006 to 31st December 2012. The methodology connotes the use of analysis and synthesis, as well as relevant statistical and mathematical methods. The study is based on the assumption that there is no statistically significant difference among the different models of risk management, in relation to the performance of investment risk prediction in the markets of the observed transition economies. The main aim of the study is to assess the performances of risk management models in practice, in order to operationally optimize investment decisions. The research results indicate the implementation adequacy of the tested models in the observed transitional markets, with full consideration of their specifics. PB - BUDAPEST TECH, BUDAPEST T2 - Acta Polytechnica Hungarica T1 - An Empirical Examination of Investment Risk Management Models for Serbia, Hungary, Croatia and Slovenia EP - 220 IS - 4 SP - 201 VL - 12 UR - conv_850 ER -
@article{ author = "Đaković, Vladimir and Mladenović, Igor and Anđelić, Goran", year = "2015", abstract = "The research presented in the study is the analysis and implementation of parametric and non-parametric Value at Risk (VaR) calculation models for predicting risk and determining the maximum potential loss from investment activities. The study sample includes stock indices of Serbian (BELEX15), Hungarian (BUX), Croatian (CROBEX) and Slovenian (SBITOP) markets, from 1st January 2006 to 31st December 2012. The methodology connotes the use of analysis and synthesis, as well as relevant statistical and mathematical methods. The study is based on the assumption that there is no statistically significant difference among the different models of risk management, in relation to the performance of investment risk prediction in the markets of the observed transition economies. The main aim of the study is to assess the performances of risk management models in practice, in order to operationally optimize investment decisions. The research results indicate the implementation adequacy of the tested models in the observed transitional markets, with full consideration of their specifics.", publisher = "BUDAPEST TECH, BUDAPEST", journal = "Acta Polytechnica Hungarica", title = "An Empirical Examination of Investment Risk Management Models for Serbia, Hungary, Croatia and Slovenia", pages = "220-201", number = "4", volume = "12", url = "conv_850" }
Đaković, V., Mladenović, I.,& Anđelić, G.. (2015). An Empirical Examination of Investment Risk Management Models for Serbia, Hungary, Croatia and Slovenia. in Acta Polytechnica Hungarica BUDAPEST TECH, BUDAPEST., 12(4), 201-220. conv_850
Đaković V, Mladenović I, Anđelić G. An Empirical Examination of Investment Risk Management Models for Serbia, Hungary, Croatia and Slovenia. in Acta Polytechnica Hungarica. 2015;12(4):201-220. conv_850 .
Đaković, Vladimir, Mladenović, Igor, Anđelić, Goran, "An Empirical Examination of Investment Risk Management Models for Serbia, Hungary, Croatia and Slovenia" in Acta Polytechnica Hungarica, 12, no. 4 (2015):201-220, conv_850 .