AN ANALYTICAL METHOD OF ESTIMATING VALUE-AT-RISK ON THE BELGRADE STOCK EXCHANGE

Milica D. Obadović and Mirjana M. Obadović

Economic Annals, 2009, vol. 54, issue 183, 119-138

Abstract: 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.

Keywords: market risk; Value-at-risk (VaR) model; analytical method; financial market (search for similar items in EconPapers)
JEL-codes: C51 C52 G21 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (1)

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