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dc.creatorĐaković, Vladimir
dc.creatorMladenović, Igor
dc.creatorAnđelić, Goran
dc.date.accessioned2023-04-07T14:06:05Z
dc.date.available2023-04-07T14:06:05Z
dc.date.issued2015
dc.identifier.issn1785-8860
dc.identifier.urihttps://redun.educons.edu.rs/handle/123456789/247
dc.description.abstractThe 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.en
dc.publisherBUDAPEST TECH, BUDAPEST
dc.relationinfo:eu-repo/grantAgreement/MESTD/Integrated and Interdisciplinary Research (IIR or III)/47028/RS//
dc.rightsrestrictedAccess
dc.sourceActa Polytechnica Hungarica
dc.subjectvalue at risken
dc.subjectrisk managementen
dc.subjecthistorical simulationen
dc.subjectextreme value theoryen
dc.subjectdelta normal VaRen
dc.titleAn Empirical Examination of Investment Risk Management Models for Serbia, Hungary, Croatia and Sloveniaen
dc.typearticle
dc.rights.licenseARR
dc.citation.epage220
dc.citation.issue4
dc.citation.other12(4): 201-220
dc.citation.rankM23
dc.citation.spage201
dc.citation.volume12
dc.identifier.rcubconv_850
dc.identifier.wos000358947900012
dc.type.versionpublishedVersion


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