LIQUIDITY RISK IMPLICATIONS FOR MARKET RISK ASSESSMENT IN EMERGING MARKETS

Abstract Classical financial market theories built upon the assumption of a perfect market have been coping with frictions on both developed and emerging markets. There are numerous factors affecting the operation of financial markets and their participants’ behavior, but illiquidity is a continuous problem that has important consequences on the financial asset prices and the degree of competition between market participants. Moreover, investments that yield high profits are often the ones related to less liquid financial assets from emerging markets. Since investment decisions are based on risk preferences and investors are commonly risk averse, they tend to limit their risk exposure while defining their investment strategy. Various risk measures can be used to estimate the level of risk. Value at Risk (VaR) is a widely accepted summary measure of market risk that is also recommended by the financial industry regulatory authorities as a risk management tool. The usage of VaR models is rapidly expanding; thus, it is used by both financial and non-financial institutions in order to estimate exposure to financial risks, complement allocation of capital, set trading position limits and evaluate performance of trading strategies. However, the last global financial crisis that occurred in 2007-2008 highlighted some of the weaknesses of this measure as a measure of market risk. The lack of a liquidity parameter in methodologies used to compute VaR significantly decreased the effectiveness of this measure. Therefore, the objective of this research is to examine the implications of asset liquidity risk on market risk assessment, which is obtained by using VaR. The most frequently used technique for VaR estimation is the parametric (analytic) method, but the constant search for precise prediction models results in a large number of variations of basic parametric and non-parametric methods. Thus, in this research, the parametric VaR and volatility models are implemented on a sample representing the stock indices of the European emerging markets in the period from 2009 to 2017. The results of this study indicate that the application of a liquidity constraint in the VaR model provides more accurate assessment of potential loss, especially in emerging markets, and enables investors to detect the liquidity risk and its effect in comparison with a conventional VaR

Supplementary data for the article: Stanković, V.; Đurđić, S.; Ognjanović, M.; Mutić, J.; Kalcher, K.; Stanković, D. M. A Novel Nonenzymatic Hydrogen Peroxide Amperometric Sensor Based on AgNp@GNR Nanocomposites Modified Screen-Printed Carbon Electrode. Journal of Electroanalytical Chemistry 2020, 876, 114487. https://doi.org/10.1016/j.jelechem.2020.114487

Supplementary material for: [https://doi.org/10.1016/j.jelechem.2020.114487]Related to published version: [http://cherry.chem.bg.ac.rs/handle/123456789/4033

Supplementary data for the article: Stanković, V.; Đurđić, S.; Ognjanović, M.; Antić, B.; Kalcher, K.; Mutić, J.; Stanković, D. M. Anti-Human Albumin Monoclonal Antibody Immobilized on EDC-NHS Functionalized Carboxylic Graphene/AuNPs Composite as Promising Electrochemical HSA Immunosensor. Journal of Electroanalytical Chemistry 2020, 860. https://doi.org/10.1016/j.jelechem.2020.113928

Supplementary material for: [https://doi.org/10.1016/j.jelechem.2020.113928]Related to published version: [http://cherry.chem.bg.ac.rs/handle/123456789/3881]Related to accepted version: [http://cherry.chem.bg.ac.rs/handle/123456789/3891

Supplementary data for the article: Stanković, V.; Đurđić, S.; Ognjanović, M.; Antić, B.; Kalcher, K.; Mutić, J.; Stanković, D. M. Anti-Human Albumin Monoclonal Antibody Immobilized on EDC-NHS Functionalized Carboxylic Graphene/AuNPs Composite as Promising Electrochemical HSA Immunosensor. Journal of Electroanalytical Chemistry 2020, 860. https://doi.org/10.1016/j.jelechem.2020.113928

Supplementary material for: [https://doi.org/10.1016/j.jelechem.2020.113928]Related to published version: [http://cherry.chem.bg.ac.rs/handle/123456789/3881]Related to accepted version: [http://cherry.chem.bg.ac.rs/handle/123456789/3891

Seasonal variability of Chelidonium majus L. secondary metabolites content and antioxidant activity

The aim of this study is to investigate the total phenolic content, concentration of flavonoids and antioxidant activity in extracts of the plant Chelidonium majus L. during different phenological stages (stage of rosette, the initial flowering stage, the stage of fully formed flowers and stage of fruits formation). Five different extracts of the whole plant, for each phase, were obtained by extraction with water, methanol, acetone, ethyl acetate and petroleum ether. The concentration of total phenolic content was determined using the Folin-Ciocalteu´s reagent and obtained values were the highest in the rosette stage (60.96 mg GA/g). The concentration of flavonoids was the highest in the initial stage of flowering (291.58 mg RU/g). The antioxidant activity was determined in vitro using DPPH reagent. The highest antioxidant activity was expressed in the rosette stage (50.72 mg/ml). Based on the obtained results it can be concluded that the concentrations of secondary metabolites in Ch. majus depend on the phenological stage of the plant

Amperometric determination of cholesterol using cholesterol oxidase immobilized on Pt,Ru-C nanocomposite and an ionic liquid-modified carbon paste electrode

Cholesterol as very important biomolecule is the precursor of many biologically significant compounds which give strength and flexibility to the biological membranes. It is also a crucial component in lipoproteins, and has an important role to transport hydrophobic molecules in hydrophilic media such as blood [1, 2]. The analytical performance of carbon paste electrodes (CPE) bulk modified with ionic liquid 1-allyl-3-methylimidazolium dicyanamide ([AMIM][DCA]), and surface modified with platinum on graphitized carbon (Pt-C) or platinum-ruthenium alloy on graphitized carbon (Pt,Ru-C) for analysis of hydrogen peroxide (H 2O2) were compared. The prepared working electrodes were characterized using scanning electron microscopy–energydispersive X-ray spectrometry, together with electrochemical impedance spectroscopic, cyclic voltammetric, and amperometric techniques. After method optimization, an enzyme cholesterol oxidase (ChOx) was immobilized on the surface of Pt,Ru-C/IL-CPE by Nafion®. The improved cholesterol amperometric determination was achieved in phosphate buffer solution pH 7.50 at a working potential of 0.60 V. Under the optimized experimental conditions, a linear relationship between oxidation current and cholesterol concentration was in the concentration range from 0.31 to 2.46 µM, with an estimated detection limit of 0.13 µM and relative standard deviation (RSD) below 4.2%. The optimized amperometric method in combination with the developed ChOx/Pt,Ru-C/IL-CPE biosensor showed good repeatability and high selectivity towards cholesterol biosensing despite the presence of possible interferences. The ChOx/Pt,Ru-C/IL-CPE was tested for the determination of the free cholesterol, by its enzymatic reaction product H 2O2, in a human blood serum sample. The percentage recovery ranged from 99.08 to 102.81%, while RSD was below 2.0% for untreated, as well as for spiked human blood serum sample.YISAC 2023 : 28th Young Investigators' Seminar on Analytical Chemistry : the book of abstracts; June 25-28, Belgrad

Electric cataract as occupational disease

Posle kratkog uvoda u istorijat našeg znanja o patogenezi električne katarakte, autori prikazuju jedan slučaj pojave ove katarakte kod radnika, koji je bio povređen strujom visoke voltaže (35.000 V). Zamućenje sočiva je usledilo posle šest meseci i to intenzivnije na strani tela, koja je bila dalje od izvora struje. Bolesnik je operisan i vid je integralne povraćen. Preporučene su neke profilaktične mere za zaštitu ovih radnika. Autori završavaju članak jednom hipotezom, koja treba da objasni »latentni period«, poznat kod ove vrste katarakte, teorijom auto-agresije na bazi sudara auto-antitela, koji bi bili odgovorni za brzinu, stepen i intenzitet nastale katarakte.After a short introduction into the main characteristics of electric cataract, the authors present a case of electric cataract in a worker injured by the high voltage current (35.000 V). After a »Iatent period« lasting 6 months, the disease appeared in both lenses, but more intensely on the lense of the left eye which was further away from the passage of the electric current. In their case the electric arc did not pass through the head as was usual in all the cases described so far, but through the raised hand and the chest. What the authors particularly point out are the changes at the base of both eyes, in the region of macula, which in their clinical picture resemble the changes observed in those who happen to look at the sun in eclipse with unprotected eyes. On the basis of this finding the authors are inclined to think that these changes are more likely to be caused by the intense light in the moment of short circuit than by electric energy. After the operation of the left eye and with a corrective glass, the normal visual acuity has returned to the patient. The changes on the right eye have remained stationary. The authors briefly discuss certain prophilactic measures to be introduced in electric industry, as well as the rehabilitation of workers suffering from electric cataract. A hypothesis on the mechanism of the disease is also given

EDITORIAL

We would like to thank, first of all, authors of the articles published in this Issue of the Journal. At the same time, we feel grateful to all the referees for their valuable help in selecting the papers and improving their quality

Environmental factors affecting mayfly assemblages in tufa-depositing habitats of the Dinaric Karst

Remarkably, unlike other parts of Europe, the ecology of mayflies in the southeastern regions is still poorly known. Here we present the first comprehensive study of Ephemeroptera in the tufa-depositing habitats of the Dinaric Karst. The study was conducted in Plitvice Lakes National Park monthly during a one-year period (2007–2008) in different types of habitats (springs, streams, mountainous rivers, tufa barriers). The aims of the study were to determine mayfly composition, abundance, spatial distribution and habitat preferences, and to examine the environmental factors important for the structuring of mayfly assemblages in Plitvice Lakes National Park. The mayfly fauna of tufa-depositing habitats was composed of 14 species (20 taxa). Water temperature, pH and ammonium concentration were the most important environmental variables explaining mayfly assemblages. Mayfly assemblages grouped according to habitat type. Generally, the most favourable habitat type was mountainous stream, tufa barriers were less favourable, and the least favourable were springs. Our results confirmed that mayflies are a powerful tool as descriptors of their environment, as the presence or absence of certain mayflies was strongly influenced by physico-chemical water properties

Build-Up PMMA Plate Effect on Calibration of TLD Reader

The routine monitoring of the occupationally exposed individuals constitutes an integral part of radiation protection program implemented at the Vinca Institute of Nuclear Sciences (INNV). The Individual monitoring service (IMS) at the INNV, accredited according to quality standard EN ISO/IEC 17025, is using Harshaw 6600 Plus automatic reader and thermoluminescent dosimeters (TLD) from two manufacturers (Harshaw, RadPro international GmbH). Working procedures are implemented according to Technical Recommendations for Monitoring Individuals Occupationally Exposed to External Radiation, RP 160 (European Commission, 2009). Among general consideration, RP 160 is suggesting that routine calibration of dosimetry system should be performed taking into consideration secondary charged particle equilibrium. As TLD system in use at IMS INNV comprises of TLD reader and of TLD cards, this consideration should be applied in both cases: when the reader and the TLD cards are being calibrated. During reader calibration, secondary charged particle equilibrium can be ensured using build-up PMMA plate of certain thickness placed in front of dosimeters. In this paper, influence of the build-up plate on reader calibration is being analyzed. This influence is observed through changes in reader calibration factor (RCF). RCF values obtained during reader calibration procedure with and without 2 mm thick build-up plate are presented. Exposures of whole body TLDs placed on slab phantom were done with Cs-137 radiation source located at Secondary Standard Dosimetry Laboratory (SSDL) at INNV. TLDs from both manufacturers had 2 detectors for measuring the dose equivalent at the depths of 10 mm and 0.07 mm. TLD reader was calibrated to measure effective dose in terms of Hp(10) and local skin dose in terms of Hp(0.07). RCF values for detectors measuring Hp(10), from both manufacturers, when irradiated without the plate were around 5% higher than RCF values obtained when irradiations were done with the plate. Values of RCFs for detectors measuring Hp(0.07) were around 1% higher when the plate had not been used. As RCF value is inversely proportional to measured dose, reader calibration without build-up plate, in terms of Hp(10), would lead to underestimated dose values. The observed RCF deviation of Hp(0.07) detector is regarded as consequence of exposure conditions uncertainties. In conclusion, if a constant geometry and constant operational conditions of TLDs are achieved, the only part of the TLD system that is not stable for a long time period is the TLD reader. To avoid inaccurate results, RCF should be orderly checked and reader calibration should be done according to widely accepted standards, currently in effect.3rd International Conference on Radiation and Applications in Various Fields of Research (RAD), Jun 08-12, 2015, Budva, Montenegr