Specific Risk Modelling Approach Under Permacrisis Conditions: Some Empirical Evidence

Jelena Ivetić; Vladimir Djakovic; Goran Andjelic

doi:10.5755/j01.ee.36.3.34487

Authors

Jelena Ivetić Faculty of Technical Sciences, University of Novi Sad, Serbia
Vladimir Djakovic Faculty of Technical Sciences, University of Novi Sad, Serbia https://orcid.org/0000-0002-3282-2899
Goran Andjelic Faculty of Business Economics, Educons University, Serbia

DOI:

https://doi.org/10.5755/j01.ee.36.3.34487

Keywords:

Risk Modelling, Value at Risk, GARCH, Investment Activities, Permacrisis

Abstract

The subject of the research is testing, analyzing, and considering the possibility of applying different risk modeling approaches to optimize the effects of investment activities. In order to have a realistic research basis, concrete data from certain markets were used to cover the studied phenomena as efficiently as possible. The aim is to obtain reliable, timely information about the accomplishment of the specific risk modeling approach under permacrisis conditions. Specific results and their significance for science and practice underscore the focus on distinct crisis periods. The findings confirm the practical relevance and advantages of applying EVT and CEVT-based Value-at-Risk models. This is achieved using different confidence levels (90% and 99%) and a 250-day moving window. The novelty of the research lies in the comparative assessment of investment risk in both developed and developing markets under permacrisis conditions, with the strengths and weaknesses of the tested models clearly identified. The study thereby contributes to creating an optimal market environment that supports informed investment decisions regarding expected returns. The limitations of the research reflect the distinct characteristics of developed and developing markets, with a particular challenge being the identification of systemic risk under the prevailing conditions.

Author Biographies

Jelena Ivetić, Faculty of Technical Sciences, University of Novi Sad, Serbia

Jelena Ivetić is an associate professor at the Chair of Mathematics, Faculty of Technical Sciences, University of Novi Sad. Her research interests encompass applied statistics and probability, machine learning, computer vision, and theoretical computer science. She teaches various courses in statistics and mathematics to engineering students at all levels of study.

Vladimir Djakovic, Faculty of Technical Sciences, University of Novi Sad, Serbia

Vladimir Djakovic works as a full professor at the Department of Industrial Engineering and Management, Faculty of Technical Sciences at the University of Novi Sad. His field of interest includes the following: Investment management, Financial management, Risk management, Portfolio management, International finance and Management of small and medium enterprises. His research focuses on the investment optimisation processes using contemporary risk management investment tools. Special emphasizes in his research is placed on developing countries and the possibilities of developing various multidisciplinary engineering models in the subject field. He has taught courses at all levels (B.Sc., M.Sc. and Ph.D.).

Goran Andjelic, Faculty of Business Economics, Educons University, Serbia

Goran Andjelic did his PhD thesis in area of Investment Management at the Faculty of Technical Sciences, University of Novi Sad. Professor Andjelic has a broad field of research interests in areas of Finance, Financial Management, Investments and Risk Management. He is the author and coauthor of significant numbers of scientific articles and participant on conferences. His diverse academic and practical experience has given him an opportunity to work in the fields of finance, management, banking, investment sector and public sector. He has taught courses at all levels (B.Sc., M.Sc. and Ph.D.).