Investment Environment Problems Analysis and Evaluation: An Ex Post Empirical Analysis and Performance Implications

  • Vladimir Djuro Djakovic University of Novi Sad, Serbia
  • Goran B. Andjelic Educons University, Serbia
  • Aleksandar D. Petkovic University Business Academy, Serbia
Keywords: Investment Environment, Value-at-Risk, Risk Assessment, Developing Countries, Investment

Abstract

The research subject is the investment environment problems analysis and evaluation of the developing countries, namely, the Republic of Serbia, Croatia, Slovenia, and Hungary. The analysis was carried out by testing and implementation of the Value-at-Risk models, i.e, the historical simulation (HS VaR), the delta-normal VaR (D VaR) and the extreme value theory model (EVT), with the confidence level of 95% for 100, 200 and 300 days, in the period from 2012 to 2016. The basic hypothesis of the research is that there is a relation between the successful application of the historical simulation (HS VaR), the delta-normal VaR (D VaR) and the extreme value theory model (EVT) and the conditions and opportunities of the investment environment of the developing countries. The research results provide a concrete knowledge of the conditions and circumstances of the investment environment in the observed markets, with a simultaneous performance assessment of the tested VaR models.

Author Biographies

Vladimir Djuro Djakovic, University of Novi Sad, Serbia

Department of Industrial Engineering and Management, Associate Professor

Goran B. Andjelic, Educons University, Serbia

Full Professor

Aleksandar D. Petkovic, University Business Academy, Serbia

Associate Professor

Published
2019-10-30
Section
ECONOMICS OF ENGINEERING DECISIONS