Nikola Radivojevic

Technical College of Applied Studies, Kragujevac

Косовска 8

Kragujevac, 34000

Serbia

SCHOLARLY PAPERS

2

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79

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0

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Scholarly Papers (2)

1.

The New Hybrid Value at Risk Approach Based on the Extreme Value Theory

Estudios de Economia., Vol. 43, No. 1, 2016
Number of pages: 24 Posted: 27 Jun 2016
Nikola Radivojevic, Milena Cvjetkovic and Saša Stepanov
Technical College of Applied Studies, Kragujevac, University of Novi Sad - Faculty of Technical Sciences and BAS, Belgrade
Downloads 78 (334,862)

Abstract:

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Value at Risk, Extreme Value Theory, Expected Shortfall, emerging markets, market risk

2.

Measuring Expected Shortfall Under Semi-Parametric Expected Shortfall Approaches: A Case Study of Selected Southern European/Mediterranean Countries

Journal of Operational Risk, Forthcoming
Number of pages: 34 Posted: 01 Nov 2019
Nikola Radivojevic, Borislav Bojic and Marija Lakicevic
Technical College of Applied Studies, Kragujevac, University Business Academy, Novi Sad - Faculty of Law for Commerce and Judiciary in Novi Sad and University of Kragujevac - Faculty of Economics
Downloads 1 (702,530)
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Abstract:

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expected shortfall (ES), emerging markets, Berkowitz test, Acerbi and Szekely’s first method, bootstrap methods, Mediterranean countries.