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

摘要

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%.Sa?etakU Srbiji je postojao period rasta investicija, koji se odra?avao i na rast burzovnih pokazatelja. Cilj ovoga rada je da procijeni tr?i?ni rizik u periodu rasta burzovnih pokazatelja na srpskom tr?i?tu, primjenom metoda povijesne simulacije, na portfolio koji se sastoji od svih akcija kojima se kontinuirano trgovalo na Beogradskoj burzi a za koje su u danom trenutku postojali potrebni podaci, obzirom da je srpsko burzovno tr?i?te bilo mlado tj. prakti?no u nastajanju. Izvr?ena je verifikacija modela na vi?e nivoa pouzdanosti koja je pokazala da je model podcijenio postoje?i rizik na nivou pouzdanosti od 99%.