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Title:Vpliv likvidnostnega tveganja na izračun tvegane vrednosti
Authors:Bricelj, Bor (Author)
Jagrič, Timotej (Author)
Strašek, Sebastjan (Author)
Files:URL http://www.fm.upr.si/zalozba/ISSN/1854-4231/8_183-197.pdf
 
Language:Slovenian
Work type:Not categorized
Tipology:1.01 - Original Scientific Article
Organization:UPR - University of Primorska
Abstract:V članku uvajamo likvidnost v standardno analizo tvegane vrednosti. Osnovne VaR modele nadgradimo z informacijami o cenovnem razponu med ponujeno in povpraševano ceno naložbe. Nadgrajene modele testiramo na podlagi domačega in tujih naborov delnic. Ugotavljamo, da likvidnostni VaR modeli ob upoštevanju predpostavk raziskave primerno ocenjujejo tržna tveganja. Le-ti metodološko na eni strani predstavljajo napredek v okviru obravnave tržnih tveganj, vendar na drugi strani rezultati testiranj modelov kažejo pomanjkanje robustnosti. Glede primerjave rezultatov po naborih delnic pa ugotavljamo, da so rezultati za slovenski nabor kljub manjši globini trga primerljivi s tistimi iz tujine.
Keywords:tvegana vrednost, likvidnost, statistični test ustreznosti
Year of publishing:2013
Publisher:Fakulteta za management
Number of pages:str. 183-197, 267
Numbering:Leto 8, št. 3
ISSN:1854-4231
UDC:336.14
COBISS_ID:4868311 Link is opened in a new window
Views:1122
Downloads:25
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Secondary language

Language:English
Abstract:In this article we implement liquidity in the standard value-at-risk framework. We incorporate bid-ask spread into basic VaR models. We then test these models on three foreign markets and on a domestic one. We conclude that liquidity VaR models adequately measure market risk. On one hand, the liquidity VaR methodology represents advancement in market risk analysis, but on the other hand, those models are not yet robust enough to pass all back tests. Comparing the results between markets we conclude that the results for the domestic market are comparable to those of foreign ones despite their size difference.
Keywords:value-at-risk, liquidity, backtests

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