TY  - JOUR
AU  - Radivojević, Nikola
AU  - Ćurčić, Nikola
AU  - Marčetić, Marija
PY  - 2018
UR  - https://intam.institut-tamis.rs/handle/123456789/181
AB  - Cilj rada je da se ispita uspšnost bezuslovnog i uslovnih VaR i ES modela zasnovanih na EVT. U radu je testirana aplikativnost jednog bezuslovnog VaR i ES modela zasnvana na EVT i tri varijante uslovnih modela VaR i ES zasnovanih na EVT na tržištima kapitala izabranih zemalja Zapadnog Balkana. Za testiranje VaR modela korišćen je test uslovnog i bezuslonog pokrića, uz napomenu da su njihovi rezultati podvrgnuti verifikaciji primenom Monte Carlo test procedure. Dobijeni podaci sugerišu da se ovi modeli mogu uspešno koristiti za kvantifikovanje ekstemnog trežšinog rizika na izabranim tržišitma, u kontekstu Bazelskih standarda. ES modeli su testirani i rangirani primenom fukcije gubitka. Primenom bootstrap simulacije ovi rezultati su podvrgnuti verifikacji. Dobijeni podaci ne otkrivaju koji je model najadekvatniji za izbrana tržišta, budući da su na različitim tržištima različito rangirani.
AB  - The purpose of this paper is to investigate the performance of unconditional and conditional Value at Risk (VaR) and Expected Shortfall (ES) models based on EVT. The application of one unconditional VaR and ES model based on EVT and three variants of conditional models of VaR and ES based on EVT in the capital markets of the selected WBC was tested in the paper. To test the VaR model, a conditional and unconditional cover test was used, with the note that their results were subject to verification using the Monte Carlo test procedure. The obtained results suggests that these models can be successfully used to quantify extreme market risk in selected markets, in the context of Basel standards. ES models have been tested and ranked using loss function. By using the Bootstrap simulation, these results are subject to verification. The obtained results does not reveal which model is most suitable for the selected markets, since they are differently ranked in different markets.
PB  - Ekonomski institut, Beograd
T2  - Industrija
T1  - Kvantifikovanje ekstremnov tržišnog rizika na izabranim zemljama Zapadnog Balkana
T1  - Quantifying extreme market risk in the selected Western Balkan countries
EP  - 115
IS  - 2
SP  - 99
VL  - 46
DO  - 10.5937/industrija46-16666
UR  - conv_4
ER  - 

@article{
author = "Radivojević, Nikola and Ćurčić, Nikola and Marčetić, Marija",
year = "2018",
abstract = "Cilj rada je da se ispita uspšnost bezuslovnog i uslovnih VaR i ES modela zasnovanih na EVT. U radu je testirana aplikativnost jednog bezuslovnog VaR i ES modela zasnvana na EVT i tri varijante uslovnih modela VaR i ES zasnovanih na EVT na tržištima kapitala izabranih zemalja Zapadnog Balkana. Za testiranje VaR modela korišćen je test uslovnog i bezuslonog pokrića, uz napomenu da su njihovi rezultati podvrgnuti verifikaciji primenom Monte Carlo test procedure. Dobijeni podaci sugerišu da se ovi modeli mogu uspešno koristiti za kvantifikovanje ekstemnog trežšinog rizika na izabranim tržišitma, u kontekstu Bazelskih standarda. ES modeli su testirani i rangirani primenom fukcije gubitka. Primenom bootstrap simulacije ovi rezultati su podvrgnuti verifikacji. Dobijeni podaci ne otkrivaju koji je model najadekvatniji za izbrana tržišta, budući da su na različitim tržištima različito rangirani., The purpose of this paper is to investigate the performance of unconditional and conditional Value at Risk (VaR) and Expected Shortfall (ES) models based on EVT. The application of one unconditional VaR and ES model based on EVT and three variants of conditional models of VaR and ES based on EVT in the capital markets of the selected WBC was tested in the paper. To test the VaR model, a conditional and unconditional cover test was used, with the note that their results were subject to verification using the Monte Carlo test procedure. The obtained results suggests that these models can be successfully used to quantify extreme market risk in selected markets, in the context of Basel standards. ES models have been tested and ranked using loss function. By using the Bootstrap simulation, these results are subject to verification. The obtained results does not reveal which model is most suitable for the selected markets, since they are differently ranked in different markets.",
publisher = "Ekonomski institut, Beograd",
journal = "Industrija",
title = "Kvantifikovanje ekstremnov tržišnog rizika na izabranim zemljama Zapadnog Balkana, Quantifying extreme market risk in the selected Western Balkan countries",
pages = "115-99",
number = "2",
volume = "46",
doi = "10.5937/industrija46-16666",
url = "conv_4"
}

Radivojević, N., Ćurčić, N.,& Marčetić, M.. (2018). Kvantifikovanje ekstremnov tržišnog rizika na izabranim zemljama Zapadnog Balkana. in Industrija
Ekonomski institut, Beograd., 46(2), 99-115.
https://doi.org/10.5937/industrija46-16666
conv_4

Radivojević N, Ćurčić N, Marčetić M. Kvantifikovanje ekstremnov tržišnog rizika na izabranim zemljama Zapadnog Balkana. in Industrija. 2018;46(2):99-115.
doi:10.5937/industrija46-16666
conv_4 .

Radivojević, Nikola, Ćurčić, Nikola, Marčetić, Marija, "Kvantifikovanje ekstremnov tržišnog rizika na izabranim zemljama Zapadnog Balkana" in Industrija, 46, no. 2 (2018):99-115,
https://doi.org/10.5937/industrija46-16666 .,
conv_4 .

TY  - JOUR
AU  - Marčetić, Marija
AU  - Ćurčić, Nikola
AU  - Lazović, Katarina
PY  - 2016
UR  - https://intam.institut-tamis.rs/handle/123456789/165
AB  - Problem evazije poreza na dodatu vrednost u trenutku fiskalne konsolidacije u Srbiji značajan je i u tom smislu ovaj rad bi trebalo da doprinese rasvetljavanju modaliteta evazije ovog poreza. Iako istraživanja pokazuju da porez na dodatu vrednost ostavlja najmanje prostora za izbegavanje poreza, iskustva mnogih zemalja ukazuju na to da je podložan prevarama. U radu se razmatraju osnovni činioci koji utiču na odluku poreskog obveznika da izbegne plaćanje poreza. Nakon evidencije razmere poreskog jaza, analiziraju se pojedinačni slučajevi na koji poreski obveznici na zakonit ili nezakonit način vrše evaziju u sistemu poreza na dodatu vrednost.
AB  - The problem of evasion of value added tax at the time of fiscal consolidation in Serbia is significant and in that sense, this work should contribute to shedding light on the modalities of this tax evasion. Although research shows that the value added tax leaves less room for tax evasion, the experience of many countries shows that the value added tax is subject to fraud. The paper discusses the main factors that influence the decision of a taxpayer to avoid paying taxes. After noting a scale of tax gap, the individual cases are analyzed in which taxpayers evade paying value added tax in a legal or illegal manner.
PB  - Univerzitet u Novom Sadu - Ekonomski fakultet, Subotica
T2  - Anali Ekonomskog fakulteta u Subotici
T1  - Modaliteti evazije poreza na dodatu vrednost u Republici Srbiji
T1  - Modalities of value added tax evasion in the Republic of Serbia
EP  - 248
IS  - 35
SP  - 237
UR  - conv_19
ER  - 

@article{
author = "Marčetić, Marija and Ćurčić, Nikola and Lazović, Katarina",
year = "2016",
abstract = "Problem evazije poreza na dodatu vrednost u trenutku fiskalne konsolidacije u Srbiji značajan je i u tom smislu ovaj rad bi trebalo da doprinese rasvetljavanju modaliteta evazije ovog poreza. Iako istraživanja pokazuju da porez na dodatu vrednost ostavlja najmanje prostora za izbegavanje poreza, iskustva mnogih zemalja ukazuju na to da je podložan prevarama. U radu se razmatraju osnovni činioci koji utiču na odluku poreskog obveznika da izbegne plaćanje poreza. Nakon evidencije razmere poreskog jaza, analiziraju se pojedinačni slučajevi na koji poreski obveznici na zakonit ili nezakonit način vrše evaziju u sistemu poreza na dodatu vrednost., The problem of evasion of value added tax at the time of fiscal consolidation in Serbia is significant and in that sense, this work should contribute to shedding light on the modalities of this tax evasion. Although research shows that the value added tax leaves less room for tax evasion, the experience of many countries shows that the value added tax is subject to fraud. The paper discusses the main factors that influence the decision of a taxpayer to avoid paying taxes. After noting a scale of tax gap, the individual cases are analyzed in which taxpayers evade paying value added tax in a legal or illegal manner.",
publisher = "Univerzitet u Novom Sadu - Ekonomski fakultet, Subotica",
journal = "Anali Ekonomskog fakulteta u Subotici",
title = "Modaliteti evazije poreza na dodatu vrednost u Republici Srbiji, Modalities of value added tax evasion in the Republic of Serbia",
pages = "248-237",
number = "35",
url = "conv_19"
}

Marčetić, M., Ćurčić, N.,& Lazović, K.. (2016). Modaliteti evazije poreza na dodatu vrednost u Republici Srbiji. in Anali Ekonomskog fakulteta u Subotici
Univerzitet u Novom Sadu - Ekonomski fakultet, Subotica.(35), 237-248.
conv_19

Marčetić M, Ćurčić N, Lazović K. Modaliteti evazije poreza na dodatu vrednost u Republici Srbiji. in Anali Ekonomskog fakulteta u Subotici. 2016;(35):237-248.
conv_19 .

Marčetić, Marija, Ćurčić, Nikola, Lazović, Katarina, "Modaliteti evazije poreza na dodatu vrednost u Republici Srbiji" in Anali Ekonomskog fakulteta u Subotici, no. 35 (2016):237-248,
conv_19 .