Quantifying extreme market risk in the selected Western Balkan countries
The purpose of this paper is to investigate the performance of unconditional and conditional Value at Risk (VaR) and Expected Shortfall (ES) models based on EVT. The application of one unconditional VaR and ES model based on EVT and three variants of conditional models of VaR and ES based on EVT in...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Economics institute, Belgrade
2018-01-01
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| Series: | Industrija |
| Subjects: | |
| Online Access: | https://scindeks-clanci.ceon.rs/data/pdf/0350-0373/2018/0350-03731802099R.pdf |