The Possibilities of Application of the Parametric and Nonparametric VaR Daily Returns Estimation – Regional Perspective

Vladimir Dj. Djakovic, Goran B. Andjelic

Abstract


The subject of this research is to test the possibilities of application of the parametric and nonparametric VaR models in the markets of Southeast Europe region countries. The research objective is to obtain specific findings tested in practice regarding the possibilities of application of aforementioned VaR models in the observed markets. The research hypothesis is based on the assumption that the possibilities of the various VaR models application in the markets of Southeast European region countries are significant, and that application of these models can render adequate results regarding investment optimization and quantification. The methodology used in this research includes the application of MANOVA analysis, discriminant analysis, and Roy's test in the case of selected regional countries. The research results indicate the significance of the analyzed VaR models application in the analyzed markets and expand the potential for further research in the subject field.

DOI: http://dx.doi.org/10.5755/j01.ee.28.2.14225


Keywords


Value at Risk; Parametric VaR; Nonparametric VaR; Return Estimation; Transitional Markets

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Print ISSN: 1392-2785
Online ISSN: 2029-5839