Naslov
Validity of historical simulation in EU new member and candidate states

Autori
Bezić, Heri ; Žiković, Saša

Izvornik
Ekonomski vjesnik (0353-359X) 20 (2007), 1-2; 23-38

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Basel II ; market risk ; Value at Risk ; Historical simulation

Sažetak
Market risk arises from movement in the underlying risk factors of a particular security, such as: equity prices, interest rates, exchange rates and commodity prices. With the approval of Basle Committee for Banking Supervision and European Commission on using internally developed market risk measurement models to calculate bank’ s market risk provisions, the interest for market risk models has significantly increased. Because financial markets of EU new member and candidate states significantly differ from the developed markets, applying VaR models developed and tested in the developed and liquid financial markets, to the volatile and shallow financial markets of EU new member and candidate states is highly questionable. This paper tests whether using a wide spread market risk measurement model such as Historical simulation adequately measures the market risk in stock markets of EU new member and candidate states. In this paper, the stock market indexes of Bulgaria, Romania, Croatia and Turkey are used to test the adequacy of measuring market risk based on Historical simulation. The testing is performed out of the sample, with four different observation periods.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA