Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and Croatia
We investigate the relative performance of a wide array of Value at Risk (VaR) models with the daily returns of Turkish (XU100) and Croatian (CROBEX) stock index prior to and during the ongoing financial crisis. In addition to widely used VaR models, we also study the behaviour of conditional and un...
| Main Authors: | , |
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| Format: | Article |
| Language: | deu |
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Faculty of Economics University of Rijeka
2009-06-01
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| Series: | Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu |
| Subjects: | |
| Online Access: | https://www.efri.hr/sites/efri.hr/files/cr-collections/2/aktan-2009-1.pdf |
| _version_ | 1818578940833300480 |
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| author | Bora Aktan Saša Žiković |
| author_facet | Bora Aktan Saša Žiković |
| author_sort | Bora Aktan |
| collection | DOAJ |
| description | We investigate the relative performance of a wide array of Value at Risk (VaR) models with the daily returns of Turkish (XU100) and Croatian (CROBEX) stock index prior to and during the ongoing financial crisis. In addition to widely used VaR models, we also study the behaviour of conditional and unconditional extreme value theory (EVT) and hybrid historical simulation (HHS) models to generate 95, 99 and 99.5% confidence level estimates. Results indicate that during the crisis period all tested VaR model except EVT and HHS models seriously underpredict the true level of risk, with EVT models doing so at a higher cost of capital compared to HHS model |
| first_indexed | 2024-12-16T06:53:48Z |
| format | Article |
| id | doaj.art-8cc7ec928f7d4d1fb17b0440bf553421 |
| institution | Directory Open Access Journal |
| issn | 1331-8004 |
| language | deu |
| last_indexed | 2024-12-16T06:53:48Z |
| publishDate | 2009-06-01 |
| publisher | Faculty of Economics University of Rijeka |
| record_format | Article |
| series | Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu |
| spelling | doaj.art-8cc7ec928f7d4d1fb17b0440bf5534212022-12-21T22:40:20ZdeuFaculty of Economics University of RijekaZbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu1331-80042009-06-01271149170Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and CroatiaBora AktanSaša ŽikovićWe investigate the relative performance of a wide array of Value at Risk (VaR) models with the daily returns of Turkish (XU100) and Croatian (CROBEX) stock index prior to and during the ongoing financial crisis. In addition to widely used VaR models, we also study the behaviour of conditional and unconditional extreme value theory (EVT) and hybrid historical simulation (HHS) models to generate 95, 99 and 99.5% confidence level estimates. Results indicate that during the crisis period all tested VaR model except EVT and HHS models seriously underpredict the true level of risk, with EVT models doing so at a higher cost of capital compared to HHS modelhttps://www.efri.hr/sites/efri.hr/files/cr-collections/2/aktan-2009-1.pdfFinancial crisisEmerging marketsValue at RiskExtreme value theoryHybrid historical simulation |
| spellingShingle | Bora Aktan Saša Žiković Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and Croatia Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu Financial crisis Emerging markets Value at Risk Extreme value theory Hybrid historical simulation |
| title | Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and Croatia |
| title_full | Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and Croatia |
| title_fullStr | Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and Croatia |
| title_full_unstemmed | Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and Croatia |
| title_short | Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and Croatia |
| title_sort | global financial crisis and var performance in emerging markets a case of eu candidate states turkey and croatia |
| topic | Financial crisis Emerging markets Value at Risk Extreme value theory Hybrid historical simulation |
| url | https://www.efri.hr/sites/efri.hr/files/cr-collections/2/aktan-2009-1.pdf |
| work_keys_str_mv | AT boraaktan globalfinancialcrisisandvarperformanceinemergingmarketsacaseofeucandidatestatesturkeyandcroatia AT sasazikovic globalfinancialcrisisandvarperformanceinemergingmarketsacaseofeucandidatestatesturkeyandcroatia |