A Comparative Analysis of Value at Risk Measurement on Emerging Stock Markets: Case of Montenegro
Background: The concept of value at risk gives estimation of the maximum loss of financial position at a given time for a given probability. The motivation for this analysis lies in the desire to devote necessary attention to risks in Montenegro, and to approach to quantifying and managing risk more...
Main Authors: | Cerović Julija, Lipovina-Božović Milena, Vujošević Saša |
---|---|
Format: | Article |
Language: | English |
Published: |
Sciendo
2015-03-01
|
Series: | Business Systems Research |
Subjects: | |
Online Access: | https://doi.org/10.1515/bsrj-2015-0003 |
Similar Items
-
Modelling the response rate of Apache web server using extreme value theory
by: Hamed Akintayo Rafiu, et al.
Published: (2024-03-01) -
Comparing riskiness of exchange rate volatility using the Value at Risk and Expected Shortfall methods
by: Thabani Ndlovu, et al.
Published: (2022-07-01) -
A Computational Approach to Confidence Intervals and Testing for Generalized Pareto Index Using the Greenwood Statistic
by: Marek Arendarczyk, et al.
Published: (2023-07-01) -
Forecasting Uncertainty Intervals for Return Period of Extreme Daily Electricity Consumption
by: Katleho Makatjane
Published: (2022-07-01) -
Extremal Analysis of Flooding Risk and Its Catastrophe Bond Pricing
by: Jiayi Li, et al.
Published: (2022-12-01)