Pregled bibliografske jedinice broj: 895624
DOES CVaR OVERCOME VaR ON THE CROATIAN STOCK MARKET
DOES CVaR OVERCOME VaR ON THE CROATIAN STOCK MARKET // Proceedings of the 14th International Symposium on OPERATIONAL RESEARCH SOR'17 / Zadnik Stirn L., Kljajić Borštar M., Žerovnik J., Drobne S. (ur.).
Ljubljana: Slovensko društvo informatika, 2017. str. 391-396 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)
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Naslov
DOES CVaR OVERCOME VaR ON THE CROATIAN STOCK MARKET
Autori
Aljinović, Zdravka ; Trgo, Andrea
Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni
Izvornik
Proceedings of the 14th International Symposium on OPERATIONAL RESEARCH SOR'17
/ Zadnik Stirn L., Kljajić Borštar M., Žerovnik J., Drobne S. - Ljubljana : Slovensko društvo informatika, 2017, 391-396
ISBN
978-961-6165-50-1
Skup
The 14th International Symposium on Operational Research in Slovenia
Mjesto i datum
Bled, Slovenija, 27.09.2017. - 29.09.2017
Vrsta sudjelovanja
Predavanje
Vrsta recenzije
Međunarodna recenzija
Ključne riječi
Conditional Value-at-Risk (CVaR), Value-at-Risk (VaR), Croatian stock market
Sažetak
In the paper two well-known risk measurement methods Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) are applied on the Croatian stock market. The methods together with appropriate backtesting are applied on the sample of 29 stocks grouped into 8 sectors for the three different periods: 2006-2007, the period characterized with economic growth, the crisis period 2008-2009 and the post-crisis period 2013-2014, characterized with long-term economic stagnation in Croatia. The research confirms CVaR as the valid and appropriate risk measure for the Croatian stock market and gives the significant primacy to CVaR over VaR. Also, the insight to the riskiness of a particular sector through different periods is given.
Izvorni jezik
Engleski
Znanstvena područja
Ekonomija
