The estimate of the market risk by the application of historical simulation method in the period of growth of stock exchange indices on Belgrade Stock Exchange

Abstract

In Serbia there existed a period of investment growth, which reflected itself on the growth of stock market indices. The aim of this paper is to evaluate market risk at the Serbian market in period of investment growth, applying the method of historical simulation to a portfolio consisting of shares that are continuously traded at the Belgrade Stock Exchange, for which the data existed, since the Serbian stock exchange market is a young one, practically beginning. Method verification was carried out at different confidence levels, which demonstrated that the method underestimated the risk for the confidence level of 99%.