Kvantifikovanje ekstremnov tržišnog rizika na izabranim zemljama Zapadnog Balkana

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.