Economics, Econometrics and Finance
8 years ago

Extreme Value Theory Outperforms in Managing Market Risk in Montenegro

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Business Systems Research Journal
A Comparative Analysis of Value at Risk Measurement on Emerging Stock Markets: Case of Montenegro
Julija Cerović Smolović, Milena Lipovina-Božović, Saša Vujošević

Paper Summary

The study compared different methods for measuring market risk in Montenegro's stock market. They looked at data from 2004 to 2014 and found that using extreme value theory gave the most accurate estimates of potential losses. This means that extreme value theory is the best approach for predicting risky situations in emerging markets like Montenegro.

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