CVaR in Measuring Sector's Risk on the Croatian Stock Exchange
Background: In this paper the well-known risk measurement method Conditional Value-at-Risk (CVaR) is applied to the Croatian stock market to estimate the risk for 8 sectors in Croatia. The method and an appropriate backtesting are applied to the sample of 29 stocks grouped into 8 sectors for the thr...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2018-07-01
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| Series: | Business Systems Research |
| Subjects: | |
| Online Access: | https://doi.org/10.2478/bsrj-2018-0015 |