An empirical examination of investment risk management models for Serbia, Hungary, Croatia and Slovenia

Abstract

© 2015, Budapest Tech Polytechnical Institution. All rights reserved. The research presented in the study is the analysis and implementation of parametric and non-parametric Value at Risk (VaR) calculation models for predicting risk and determining the maximum potential loss from investment activities. The study sample includes stock indices of Serbian (BELEX15), Hungarian (BUX), Croatian (CROBEX) and Slovenian (SBITOP) markets, from 1stJanuary 2006 to 31stDecember 2012. The methodology connotes the use of analysis and synthesis, as well as relevant statistical and mathematical methods. The study is based on the assumption that there is no statistically significant difference among the different models of risk management, in relation to the performance of investment risk prediction in the markets of the observed transition economies. The main aim of the study is to assess the performances of risk management models in practice, in order to operationally optimize investment decisions. The research results indicate the implementation adequacy of the tested models in the observed transitional markets, with full consideration of their specifics.