An analytical method of estimating Value-at-Risk on the Belgrade Stock Exchange | Zendy

Milica Obadović | Zendy; Mirjana Obadović | Zendy

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An analytical method of estimating Value-at-Risk on the Belgrade Stock Exchange

Author(s) -

Milica Obadović,

Mirjana Obadović

Publication year - 2009

Publication title -

economic annals

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.148

H-Index - 12

eISSN - 1820-7375

pISSN - 0013-3264

DOI - 10.2298/eka0983119o

Subject(s) - stock exchange , value at risk , portfolio , econometrics , confidence interval , value (mathematics) , market risk , actuarial science , computer science , mathematics , statistics , economics , risk management , financial economics , finance

This paper presents market risk evaluation for a portfolio consisting of shares that are continuously traded on the Belgrade Stock Exchange, by applying the Value-at-Risk model - the analytical method. It describes the manner of analytical method application and compares the results obtained by implementing this method at different confidence levels. Method verification was carried out on the basis of the failure rate that demonstrated the confidence level for which this method was acceptable in view of the given conditions

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