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Testing popular VaR models in EU new member and candidate states

Saša Žiković ; Faculty of Economics, University of Rijeka, Rijeka, Croatia

Puni tekst: engleski, pdf (654 KB) str. 325-346 preuzimanja: 1.531* citiraj
APA 6th Edition
Žiković, S. (2007). Testing popular VaR models in EU new member and candidate states. Zbornik radova Ekonomskog fakulteta u Rijeci, 25 (2), 325-346. Preuzeto s https://hrcak.srce.hr/18235
MLA 8th Edition
Žiković, Saša. "Testing popular VaR models in EU new member and candidate states." Zbornik radova Ekonomskog fakulteta u Rijeci, vol. 25, br. 2, 2007, str. 325-346. https://hrcak.srce.hr/18235. Citirano 27.10.2021.
Chicago 17th Edition
Žiković, Saša. "Testing popular VaR models in EU new member and candidate states." Zbornik radova Ekonomskog fakulteta u Rijeci 25, br. 2 (2007): 325-346. https://hrcak.srce.hr/18235
Harvard
Žiković, S. (2007). 'Testing popular VaR models in EU new member and candidate states', Zbornik radova Ekonomskog fakulteta u Rijeci, 25(2), str. 325-346. Preuzeto s: https://hrcak.srce.hr/18235 (Datum pristupa: 27.10.2021.)
Vancouver
Žiković S. Testing popular VaR models in EU new member and candidate states. Zbornik radova Ekonomskog fakulteta u Rijeci [Internet]. 2007 [pristupljeno 27.10.2021.];25(2):325-346. Dostupno na: https://hrcak.srce.hr/18235
IEEE
S. Žiković, "Testing popular VaR models in EU new member and candidate states", Zbornik radova Ekonomskog fakulteta u Rijeci, vol.25, br. 2, str. 325-346, 2007. [Online]. Dostupno na: https://hrcak.srce.hr/18235. [Citirano: 27.10.2021.]

Sažetak
The impact of allowing banks to calculate their capital requirement based on their internal VaR models, and the impact of regulation changes on banks in transitional countries has not been well studied. This paper examines whether VaR models that are created and suited for developed markets apply to the volatile stock markets of EU new member and candidate states (Bulgaria, Romania, Croatia and Turkey). Nine popular VaR models are tested on five stock indexes from EU new member and candidate states. Backtesting results show that VaR models commonly used in developed stock markets are not well suited for measuring market risk in these markets. Presented findings bear very important implications that have to be addressed by regulators and risk practitioners operating in EU new member and
candidate states. Risk managers have to start thinking outside the frames set by their parent companies or else investors present in these markets may find themselves in serious trouble, dealing with losses that they have not been expecting. National regulators have to take into consideration that simplistic VaR models that are widely used in some developed countries are not well suited for these illiquid and developing stock markets.

Ključne riječi
EU new member and candidate states; stock indexes; risk management; market risk; GARCH

Hrčak ID: 18235

URI
https://hrcak.srce.hr/18235

[hrvatski]

Posjeta: 2.306 *