PROCJENA TRŽIŠNOG RIZIKA PRIMJENOM METODA POVIJESNE SIMULACIJE U PERIODU RASTA BURZOVNIH POKAZATELJA NA BEOGRADSKOJ BURZI

In Serbia there existed a period of investment growth, which reflected itself on the growth of stock market indices. The aim of this paper is to evaluate market risk at the Serbian market in period of investment growth, applying the method of historical simulation to a portfolio consisting of shares that are continuously traded at the Belgrade Stock Exchange, for which the data existed, since the Serbian stock exchange market is a young one, practically beginning. Method verification was carried out at different confidence levels, which demonstrated that the method underestimated the risk for the confidence level of 99%.U Srbiji je postojao period rasta investicija, koji se odražavao i na rast burzovnih pokazatelja. Cilj ovoga rada je da procijeni tržišni rizik u periodu rasta burzovnih pokazatelja na srpskom tržištu, primjenom metoda povijesne simulacije, na portfolio koji se sastoji od svih akcija kojima se kontinuirano trgovalo na Beogradskoj burzi a za koje su u danom trenutku postojali potrebni podaci, obzirom da je srpsko burzovno tržište bilo mlado tj. praktično u nastajanju. Izvršena je verifikacija modela na više nivoa pouzdanosti koja je pokazala da je model podcijenio postojeći rizik na nivou pouzdanosti od 99%

Serbian insurance market: Select issues

Every day insurance companies face a number of risks arising from the insurance industry itself, as well as risks arising from insurance company operations. In this constant fight against risks insurance companies use different models and methods that help them better understand, have a more comprehensive view of, and develop greater tolerance towards risks, in order to reduce their exposure to these risks. The model presented in this paper has been developed for implementation in insurance risk management directly related to insurance company risk, i.e. it is a model that can reliably determine the manner and intensity with which deviations in the initial insurance risk assessment affect insurance company operations, in the form of changes in operational risks and consequently in insurance companies’ business strategies. Additionally we present the implementation of the model in the Serbian market for the period 2005-2010

AN ANALYTICAL METHOD OF ESTIMATING VALUE-AT-RISK ON THE

ABSTRACT: This paper presents market risk evaluation for a portfolio consisting of shares that are continuously traded on the Belgrade Stock Exchange, by applying the Value-at-Risk model – the analytical method. It describes the manner of analytical method application and compares the results obtained by implementing this method at different confidence levels. Method verification was carried out on the basis of the failure rate that demonstrated the confidence level for which this method was acceptable in view of the given conditions. KEY WORDS: market risk, Value-at-risk (VaR) model, analytical method, financia