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Validity of historical simulation in EU new member and candidate states

Heri Bezić ; University of Rijeka, Faculty of Economics and Business, Rijeka, Croatia
Saša Živković ; University of Rijeka, Faculty of Economics and Business, Rijeka, Croatia

Puni tekst: engleski, pdf (1 MB) str. 23-38 preuzimanja: 59* citiraj
APA 6th Edition
Bezić, H. i Živković, S. (2007). Validity of historical simulation in EU new member and candidate states. Ekonomski vjesnik, XX (1-2), 23-38. Preuzeto s https://hrcak.srce.hr/199685
MLA 8th Edition
Bezić, Heri i Saša Živković. "Validity of historical simulation in EU new member and candidate states." Ekonomski vjesnik, vol. XX, br. 1-2, 2007, str. 23-38. https://hrcak.srce.hr/199685. Citirano 23.10.2020.
Chicago 17th Edition
Bezić, Heri i Saša Živković. "Validity of historical simulation in EU new member and candidate states." Ekonomski vjesnik XX, br. 1-2 (2007): 23-38. https://hrcak.srce.hr/199685
Harvard
Bezić, H., i Živković, S. (2007). 'Validity of historical simulation in EU new member and candidate states', Ekonomski vjesnik, XX(1-2), str. 23-38. Preuzeto s: https://hrcak.srce.hr/199685 (Datum pristupa: 23.10.2020.)
Vancouver
Bezić H, Živković S. Validity of historical simulation in EU new member and candidate states. Ekonomski vjesnik [Internet]. 2007 [pristupljeno 23.10.2020.];XX(1-2):23-38. Dostupno na: https://hrcak.srce.hr/199685
IEEE
H. Bezić i S. Živković, "Validity of historical simulation in EU new member and candidate states", Ekonomski vjesnik, vol.XX, br. 1-2, str. 23-38, 2007. [Online]. Dostupno na: https://hrcak.srce.hr/199685. [Citirano: 23.10.2020.]

Sažetak
Market risk arises from movement in the underlying risk factors of a particular security, such as: equity prices, interest rates, exchange rates and commodity prices. With the approval of Basle Committee for Banking Supervision and European Commission on using internally developed market risk measurement models to calculate bank’s market risk provisions, the interest for market risk models has significantly increased. Because financial markets of EU new member and candidate states significantly differ from the developed markets, applying VaR models developed and tested in the developed and liquid financial markets, to the volatile and shallow financial markets of EU new member and candidate states is highly questionable. This paper tests whether using a wide spread market risk measurement model such as Historical simulation adequately measures the market risk in stock markets of EU new member and candidate states. In this paper, the stock market indexes of Bulgaria, Romania, Croatia and Turkey are used to test the adequacy of measuring market risk based on Historical simulation. The testing is performed out of the sample, with four different observation periods.

Ključne riječi
Basel II; Market risk; Value at Risk; Historical simulation

Hrčak ID: 199685

URI
https://hrcak.srce.hr/199685

Posjeta: 96 *