期刊名称：Zbornik radova Ekonomskog fakulteta u Rijeci, Časopis za ekonomsku teoriju praksu
印刷版ISSN：1331-8004
出版年度：2007
卷号：25
期号：2
页码：325-346
出版社：University of Rijeka Faculty of Economics
摘要：The impact of allowing banks to calculate their capital requirement based on their internal VaR models, and the impact of regulation changes on banks in transitional countries has not been well studied. This paper examines whether VaR models that are created and suited for developed markets apply to the volatile stock markets of EU new member and candidate states (Bulgaria, Romania, Croatia and Turkey). Nine popular VaR models are tested on five stock indexes from EU new member and candidate states. Backtesting results show that VaR models commonly used in developed stock markets are not well suited for measuring market risk in these markets. Presented findings bear very important implications that have to be addressed by regulators and risk practitioners operating in EU new member and candidate states. Risk managers have to start thinking outside the frames set by their parent companies or else investors present in these markets may find themselves in serious trouble, dealing with losses that they have not been expecting. National regulators have to take into consideration that simplistic VaR models that are widely used in some developed countries are not well suited for these illiquid and developing stock markets.
关键词：EU new member and candidate states; stock indexes; risk management; market risk; GARCH
