Economics, Econometrics and Finance
8 years ago

Serbian banks implement new risk model to safeguard against market volatility

Management Journal of Sustainable Business and Management Solutions in Emerging Economies
Value-at-Risk estimation with multivariate GARCH models
Nebojša Nikolić, Vesna Manojlović

Paper Summary

The researchers implemented a method called multivariate GARCH to measure market risk in Serbian commercial banks. They used this method to estimate capital requirements for 250 days using different distribution assumptions. The results were validated using Basel II and Kupiec tests.

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