TESTING THE APPLICABILITY OF PARAMETRIC AND NONPARAMETRIC METHODS OF VALUE-AT-RISK AT THE SERBIAN CAPITAL MARKET

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Autor: Nikola Radivojević MSc, Dragana Milojković, Dragan Stojković

Summary: This paper presents a comparison of parametric and nonparametric methods of value at risk, with the aim of obtaining answers to the question of which method is more appropriate for the Serbian capital market, given that many empirical studies suggest that the assumption of normal distribution underlying the parametric methods, ie that the assumption of identical and independent distribution, which relies nonparametric method are not realistic in the Serbian capital market. Applicability of both methods was tested by empirical research on the example of the index Belexline from 01. 03. to 31. 03. 2009. year. Applicability has been tested by the daily VaR estimates obtained by parametric and nonparametric methods we compared with the actual yield changes in general stock index BELEXline. Model HS-255 has been developed for the assessment VaR.

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