TY  - JOUR
AU  - Radivojević, Nikola
AU  - Ćurčić, Nikola
AU  - Stijović, Ivan
PY  - 2016
UR  - https://intam.institut-tamis.rs/handle/123456789/172
AB  - U radu analizira se 'Traffic light' pristup,koji se nalazi u osnovi Bazel II standarda za testiranje validnosti internih modela vrednosti pri riziku, s aspekta njegovih prednosti i ograničenja. Analiza pristupa ukazuje da puko zadovoljenje njegovih kriterijuma i zahteva ne garantuje da su modeli vrednosti pri riziku ispravni, te da bi po banke prihvatanje modela kao ispravnih koji su prošli ovaj test validnosti, bez uvažavanja i korišćenja testova koji se fokusriaju na osobinu uslovnog pokrića, moglo da ima dalekosežne posledice.
AB  - The paper analyzes the 'Traffic light' approach, which was prescribed by the Basel Committee, in terms of its strengths and limitations. The analysis points that the mere satisfaction of its criteria and requires does not guarantee that VaR models are correct. Acceptance models, which sutisfied criteria of this approach, as a valid, without taking into account the use of tests that focus on feature coverage conditional, could have far-reaching consequences by banks.
PB  - Društvo ekonomista Beograda, Beograd
T2  - Ekonomski vidici
T1  - 'Traffic light' pristup - ograničenja i kritike
T1  - Traffic light approach
EP  - 318
IS  - 4
SP  - 307
VL  - 21
UR  - conv_85
ER  - 

@article{
author = "Radivojević, Nikola and Ćurčić, Nikola and Stijović, Ivan",
year = "2016",
abstract = "U radu analizira se 'Traffic light' pristup,koji se nalazi u osnovi Bazel II standarda za testiranje validnosti internih modela vrednosti pri riziku, s aspekta njegovih prednosti i ograničenja. Analiza pristupa ukazuje da puko zadovoljenje njegovih kriterijuma i zahteva ne garantuje da su modeli vrednosti pri riziku ispravni, te da bi po banke prihvatanje modela kao ispravnih koji su prošli ovaj test validnosti, bez uvažavanja i korišćenja testova koji se fokusriaju na osobinu uslovnog pokrića, moglo da ima dalekosežne posledice., The paper analyzes the 'Traffic light' approach, which was prescribed by the Basel Committee, in terms of its strengths and limitations. The analysis points that the mere satisfaction of its criteria and requires does not guarantee that VaR models are correct. Acceptance models, which sutisfied criteria of this approach, as a valid, without taking into account the use of tests that focus on feature coverage conditional, could have far-reaching consequences by banks.",
publisher = "Društvo ekonomista Beograda, Beograd",
journal = "Ekonomski vidici",
title = "'Traffic light' pristup - ograničenja i kritike, Traffic light approach",
pages = "318-307",
number = "4",
volume = "21",
url = "conv_85"
}

Radivojević, N., Ćurčić, N.,& Stijović, I.. (2016). 'Traffic light' pristup - ograničenja i kritike. in Ekonomski vidici
Društvo ekonomista Beograda, Beograd., 21(4), 307-318.
conv_85

Radivojević N, Ćurčić N, Stijović I. 'Traffic light' pristup - ograničenja i kritike. in Ekonomski vidici. 2016;21(4):307-318.
conv_85 .

Radivojević, Nikola, Ćurčić, Nikola, Stijović, Ivan, "'Traffic light' pristup - ograničenja i kritike" in Ekonomski vidici, 21, no. 4 (2016):307-318,
conv_85 .