Abstract

http://ssrn.com/abstract=2267751
 
 

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Global Financial Crisis and VaR Performance in Emerging Markets: A Case of EU Candidate States - Turkey and Croatia


Sasa Zikovic


University of Rijeka - Faculty of Economics

Bora Aktan


Yasar University

June 29, 2009

Zbornik radova Ekonomskog fakulteta u Rijeci, časopis za ekonomsku teoriju i praksu - Proceedings of Rijeka Faculty of Economics, Journal of Economics and Business, Vol. 27, No. 1, 2009, pp. 149-170

Abstract:     
We investigate the relative performance of a wide array of Value at Risk (VaR) models with the daily returns of Turkish (XU100) and Croatian (CROBEX) stock index prior to and during the ongoing financial crisis. In addition to widely used VaR models, we also study the behaviour of conditional and unconditional extreme value theory (EVT) and hybrid historical simulation (HHS) models to generate 95, 99 and 99.5% confidence level estimates. Results indicate that during the crisis period all tested VaR model except EVT and HHS models seriously under-predict the true level of risk, with EVT models doing so at a higher cost of capital compared to HHS model.

Number of Pages in PDF File: 22

Keywords: financial crisis, emerging markets, Value at Risk, extreme value theory, hybrid historical simulation

JEL Classification: G24, C14, C22, C52, C53

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Date posted: May 22, 2013  

Suggested Citation

Zikovic, Sasa and Aktan, Bora, Global Financial Crisis and VaR Performance in Emerging Markets: A Case of EU Candidate States - Turkey and Croatia (June 29, 2009). Zbornik radova Ekonomskog fakulteta u Rijeci, časopis za ekonomsku teoriju i praksu - Proceedings of Rijeka Faculty of Economics, Journal of Economics and Business, Vol. 27, No. 1, 2009, pp. 149-170. Available at SSRN: http://ssrn.com/abstract=2267751

Contact Information

Saša Žiković (Contact Author)
University of Rijeka - Faculty of Economics ( email )
Hahlic 6
Rijeka, 51000
Croatia
Bora Aktan
Yasar University ( email )
DYO Kampusu 364 Sk No:5
Bornova
Izmir, 35500
Turkey
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