Bor Bricelj (Author), Sebastjan Strašek (Author), Timotej Jagrič (Author)

Abstract

V članku uvajamo likvidnost v standardno analizo tvegane vrednosti. Osnovne VaR modele nadgradimo z informacijami o cenovnem razponu med ponujeno in povpraševano ceno naložbe. Nadgrajene modele testiramo na podlagi domačega in tujih naborov delnic. Ugotavljamo, da likvidnostni VaR modeli ob upoštevanju predpostavk raziskave primerno ocenjujejo tržna tveganja. Le-ti metodološko na eni strani predstavljajo napredek v okviru obravnave tržnih tveganj, vendar na drugi strani rezultati testiranj modelov kažejo pomanjkanje robustnosti. Glede primerjave rezultatov po naborih delnic pa ugotavljamo, da so rezultati za slovenski nabor kljub manjši globini trga primerljivi s tistimi iz tujine.

Keywords

tvegana vrednost;likvidnost;statistični test ustreznosti;

Data

Language: Slovenian
Year of publishing:
Typology: 1.01 - Original Scientific Article
Organization: UM EPF - Faculty of Economics and Business
Publisher: Fakulteta za management
UDC: 336.14
COBISS: 4868311 Link will open in a new window
ISSN: 1854-4231
Parent publication: Management
Views: 921
Downloads: 44
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Other data

Secondary language: English
Secondary abstract: In this article we implement liquidity in the standard value-at-risk framework. We incorporate bid-ask spread into basic VaR models. We then test these models on three foreign markets and on a domestic one. We conclude that liquidity VaR models adequately measure market risk. On one hand, the liquidity VaR methodology represents advancement in market risk analysis, but on the other hand, those models are not yet robust enough to pass all back tests. Comparing the results between markets we conclude that the results for the domestic market are comparable to those of foreign ones despite their size difference.
Secondary keywords: value-at-risk;liquidity;backtests;
URN: URN:NBN:SI
Type (COBISS): Not categorized
Pages: str. 183-197, 267
Volume: ǂLeto ǂ8
Issue: ǂšt. ǂ3
Chronology: jesen 2013
ID: 9106418