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Internal models for market risk assessment based on expected shortfall

dc.contributor.advisorBulajić, Milica
dc.contributor.otherBogojević-Arsić, Vesna
dc.contributor.otherBožović, Miloš
dc.creatorTotić, Selena
dc.date.accessioned2016-09-24T09:56:07Z
dc.date.available2016-09-24T09:56:07Z
dc.date.available2020-07-03T09:37:44Z
dc.date.issued2016-07-15
dc.identifier.urihttp://eteze.bg.ac.rs/application/showtheses?thesesId=3920
dc.identifier.urihttp://nardus.mpn.gov.rs/handle/123456789/6585
dc.identifier.urihttps://fedorabg.bg.ac.rs/fedora/get/o:13185/bdef:Content/download
dc.identifier.urihttps://fedorabg.bg.ac.rs/fedora/get/o:13201/bdef:Izvestaj/download
dc.identifier.urihttp://vbs.rs/scripts/cobiss?command=DISPLAY&base=70036&RID=515588762
dc.description.abstractUpravljanje tržišnim rizicima u finansijskim institucijama se prevashodno zasniva na proceni parametra „vrednost pod rizikom“ (VaR). Za ovakvu praksu je, u najvećoj meri, zaslužna bazelska regulativa koja kreira smernice i preporuke u oblasti upravljanja rizicima, a koje centralne banke većine razvijenih zemalja slede. Pa ipak, svetska finansijska kriza dovela je u pitanje adekvatnost ove mere da predvidi ekstremno rizične događaje, a samim tim i njenu dalju upotrebu u regulatorne svrhe. Kao rešenje nameće se upotreba uslovnog gubitka, relativno nove mere, koja procenjuje očekivani gubitak iznad VaR-a. Sa tim u vezi je i osnovni cilj ove doktorske disertacije, a to je da obezbedi metodologiju za upravljanje tržišnim rizicima zasnovanu na uslovnom gubitku. To podrazumeva određivanje adekvatnih modela za procenu uslovnog gubitka, modela za testiranje predviđanja, kao i novih kapitalnih zahteva za pokriće tržišnih rizika.sr
dc.description.abstractManagement of market risk in financial institutions is primarily based on the estimation of the “Value-at-Risk” (VaR) parameter. The credit for this practice is largely with the Basel regulation which creates the guidelines and recommendations in the market risk management field, followed by the majority of central banks of the developed countries. However, the world economic crisis has questioned the adequacy of this measure to predict extremely risky events, and thus its further application for regulation purposes. The use of a relatively new measure, the expected shortfall, which estimates the expected loss above VaR, is imposed as a solution. The main goal of this dissertation is to provide a methodology for managing market risk based on expected shortfall. That implies determination of adequate models for expected shortfall assessment, adequate models for backtesting expected shortfall models, as well as new capital requirements for market risk based on expected shortfall.en
dc.formatapplication/pdf
dc.languagesr
dc.publisherУниверзитет у Београду, Факултет организационих наукаsr
dc.rightsopenAccessen
dc.sourceУниверзитет у Београдуsr
dc.subjectuslovni gubitaksr
dc.subjectexpected shortfallen
dc.subjectValue-at-Risken
dc.subjectbacktestingen
dc.subjectvolatilityen
dc.subjectfat tailsen
dc.subjectGARCHen
dc.subjectextreme value theoryen
dc.subjectcapital requirementsen
dc.subjectsimulationen
dc.subjectvrednost pod rizikomsr
dc.subjectback testiranjesr
dc.subjectvolatilnostsr
dc.subjectdebeli repovisr
dc.subjectGARCHsr
dc.subjectteorija ekstremnih vrednostisr
dc.subjectkapitalni zahtevisr
dc.subjectsimulacijasr
dc.titleInterni modeli za procenu tržišnog rizika zasnovani na uslovnom gubitkusr
dc.titleInternal models for market risk assessment based on expected shortfallen
dc.typedoctoralThesis
dc.rights.licenseBY-NC
dcterms.abstractБулајић, Милица; Богојевић-Aрсић, Весна; Божовић, Милош; Тотић, Селена; Интерни модели за процену тржишног ризика засновани на условном губитку; Интерни модели за процену тржишног ризика засновани на условном губитку;
dc.identifier.fulltexthttp://nardus.mpn.gov.rs/bitstream/id/21853/Disertacija4633.pdf
dc.identifier.fulltexthttp://nardus.mpn.gov.rs/bitstream/id/21854/IzvestajKomisije4633.pdf


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