Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and Croatia

Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu. 2009;27(1):149-170

 

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Journal Title: Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu

ISSN: 1331-8004 (Print); 1846-7520 (Online)

Publisher: Faculty of Economics University of Rijeka

Society/Institution: Faculty of Economics University of Rijeka

LCC Subject Category: Social Sciences: Economic theory. Demography

Country of publisher: Croatia

Language of fulltext: English, German, Italian, French

Full-text formats available: PDF

 

AUTHORS

Bora Aktan
Saša Žiković

EDITORIAL INFORMATION

Double blind peer review

Editorial Board

Instructions for authors

Time From Submission to Publication: 16 weeks

 

Abstract | Full Text

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 underpredict the true level of risk, with EVT models doing so at a higher cost of capital compared to HHS model