Preliminary communication
THE ESTIMATE OF THE MARKET RISK BY THE APPLICATION OF HISTORICAL SIMULATION METHOD IN THE PERIOD OF GROWTH OF STOCK EXCHANGE INDICES ON BELGRADE STOCK EXCHANGE
Milica D. Obadović
Rado Maksimović
Mirjana M. Obadović
Abstract
In Serbia there existed a period of investment growth, which reflected itself on the growth of stock
market indices. The aim of this paper is to evaluate market risk at the Serbian market in period of
investment growth, applying the method of historical simulation to a portfolio consisting of shares that
are continuously traded at the Belgrade Stock Exchange, for which the data existed, since the Serbian
stock exchange market is a young one, practically beginning. Method verification was carried out at
different confidence levels, which demonstrated that the method underestimated the risk for the
confidence level of 99%.
Keywords
market risk; Value-at-risk (VaR) model; historical simulation method; financial market
Hrčak ID:
59420
URI
Publication date:
30.9.2010.
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