Testing value-at-risk models in emerging markets during crises: a case study on South Eastern European countries

Radivojević, Nikola; Ćurčić, Nikola; Milojković, Dragana; Miletić, Vuk

doi:10.21314/jrmv.2016.153

Cited by 4 publications

(4 citation statements)

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“…Although there is an abundance of research papers that examine performances of the various HS model, a small number of these papers deal with the FHS model, especially in the emerging markets and frontier markets. The most important studies are conducted by Rossignolo et al (2012Rossignolo et al ( , 2013, Louzis et al (2014), Zikovic (2010) and Radivojevic et al (2016b).…”

Section: Literature Reviewmentioning

confidence: 99%

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Hull-White’s Value at Risk Model: Case Study of Baltic Equities Market

Radivojević

Ćurčić

Vukajlović

2017

Journal of Business Economics and Management

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Analysis of the applicability of the Hull and White (FHS) model on the Baltic equities market has not been the subject of significant research, especially not in the context of meeting the Basel Committee backtesting rules. The paper discusses the applicability of different variants of this model, in order to answer the question whether any variants (and which of them) of the model can be used in these markets in the context of the Basel II and III standards. The survey results show that 1) there isn’t an optimal variant of this model, but that risk managers have to keep in mind stylized facts of financial returns when they specify the FHS model; 2) according to different criteria of the validity of the model (Basel II and III standards) different variants of models are differently ranked, which suggests that selection of a suitable model implies the use of a large number of different criteria, the model validity and loss function, especially those who take care of the size of tail loss and ES.

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Section: Literature Reviewmentioning

confidence: 99%

“…HAR-FHS/EVT are the best models. Radivojevic et al (2016b) studied the performances of a semi-parametric VaR models at emerging markets of South-Eastern European countries during crisis. They found that the FHS model performs quite poorly at these markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Hull-White’s Value at Risk Model: Case Study of Baltic Equities Market

Radivojević

Ćurčić

Vukajlović

2017

Journal of Business Economics and Management

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“…Zangari je još (1996), kako bi unapredio aplikativnost parametarskih modela VaR, predložio dva pristupa za usklađivanje empirijske teorijskoj distribuciji: pristup korekcije momenata i pristup uklapanja momenata. 18 Slično Zangarijevom prvom rešenju, u ovom radu se predlaže da se u standardni model Monte Karlo simulacije inkorporiraju Cornish-Fisher ekstenzije, koje omogućavaju usklađivanje nivoa poverenja za asimetriju i druge devijacije empirijske od normalne distribucije. Ovo je moguće jer se Cornish-Fisher ekstenzija bazira na principu da se svaka distribucija može opisati u terminima parametara neke druge, koja se bazira na istom principu.…”

Section: Pregled Literatureunclassified

Adaptation of the standard Monte Carlo simulation model to the characteristics of the emerging markets

Radivojević¹,

Brzaković²,

Despic³

2016

Posl ekonom

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SAŽETAK: Predmet istraživanja u radu jeste aplikativnost novog, u radu označenog kao kalibrirani model Monte Karlo simulacije za procenu tržišnog rizika na tržištima u nastajanju. U osnovi model predstavlja unapređenu verziju standardnog modela Monte Karlo simulacije. Unapređenje je postignuto inkorporiranjem Cornish-Fisher ekstenzije u standardni model, kako bi se standardni model Monte Karlo simulacije prilagodio karakteristikama tržišta u nastajanju. Glavni cilj rada jeste da se utvrdi da li predloženo rešenje doprinosi unapređenju aplikativnosti standardnog modela Monte Karlo simulacije. U tu svrhu u radu je izvršeno testiranje validnosti standardnog modela i kalibriranog modela na tržištima kapitala pet evropskih zemalja: Srbije, Hrvatske, Grčke, Kipra i Rumunije, u kontekstu pravila za validaciju modela vrednosti pri riziku, koja su definisana od strane Bazelskog komiteta za superviziju banaka. Metodologija istraživanja podrazumeva primenu odgovarajuće kvantitativne 1

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“…al. 2012;Zikovic and Filer, 2013;, Radivojevic et al 2016b, 2017a, 2020Doncic et al 2022). Fat tails which include negative skewness on one side and positive excess kurtosis on the other side of the center of distribution are the most common types of deviations from Gaussian type distribution (Ahn et al 2017).…”

Section: Introductionmentioning

confidence: 99%

The quantum harmonic oscillator expected shortfall model

Markovic,

Radivojevic,

Ivanovic

et al. 2023

Estudios de Economía

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This paper presents a new Expected Shortfall (ES) model based on the Quantum Harmonic Oscillator (QHO). It is used to estimate market risk in banks and other financial institutions according to Basel III standard. Predictions of the model agree with the empirical data which displays deviations from normality. Using backtesting, it is shown that the model can be reliably used to assess market risk.

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Testing value-at-risk models in emerging markets during crises: a case study on South Eastern European countries

Cited by 4 publications

References 0 publications

Hull-White’s Value at Risk Model: Case Study of Baltic Equities Market

Hull-White’s Value at Risk Model: Case Study of Baltic Equities Market

Adaptation of the standard Monte Carlo simulation model to the characteristics of the emerging markets

The quantum harmonic oscillator expected shortfall model

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