Uslovni pristup teorije ekstremnih vrednosti u proceni Vrednosti-pod-Rizikom: dokazi sa tržišta jugoistočne Evrope i SAD
Sažetak
Kao posledica skorašnje finansijske krize, adekvatnost različitih metodologija za procenu vrednosti-pod-rizikom (VaR) se često dovodi u pitanje. Ustaljena praksa u proceni VaR-a se oslanja na modelovanje cele distribucije prinosa. Kao alternativa takvom pristupu, u ovom radu se modeluju repovi distribucije prinosa, a samim tim i VaR, primenom uslovnog pristupa teorije ekstremnih vrednosti (EVT) koji kombinuje EVT i GARCH metodologiju. Rad ispituje performanse uslovnog pristupa teorije ekstremnih vrednosti, primenjenog na dnevne prinose sedam indeksa od kojih su šest indeksi tržišta u razvoju jugoistočne Evrope (BelexLine, BET, BUX, CROBEX, SBITOP, SOFIX) za period September 2004 - April 2013, a jedan je indeks tržišta SAD (Standard&Poors 500 indeks) za period Januar 1998 – April 2013. Rezultati back testiranja su pokazali da uslovni pristup teorije ekstremnih vrednosti daje dobre rezultate za sve indekse i za sve nivoe poverenja.
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