Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and Croatia

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Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and Croatia

Bora Aktan et al · Faculty of Economics University of Rijeka · 2009

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Author / responsible party

Bora Aktan et al

Publisher

Faculty of Economics University of Rijeka

Year

2009

ISSN

1331-8004

ISSN

1331-8004

Language

English

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We investigate the relative performance of a wide array of Value at Risk (VaR) models with the daily returns of Turkish (XU100) and Croatian (CROBEX) stock index prior to and during the ongoing financial crisis. In addition to widely used VaR models, we also study the behaviour of conditional and unconditional extreme value theory (EVT) and hybrid historical simulation (HHS) models to generate 95, 99 and 99.5% confidence level estimates. Results indicate that during the crisis period all tested VaR model except EVT and HHS models seriously underpredict the true level of risk, with EVT models doing so at a higher cost of capital compared to HHS model

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APA 7

al, B. A. E. (2009). Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and Croatia. https://www.efri.hr/sites/efri.hr/files/cr-collections/2/aktan-2009-1.pdf

MLA

al, Bora Aktan et. "Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and Croatia." 2009. https://www.efri.hr/sites/efri.hr/files/cr-collections/2/aktan-2009-1.pdf.

Chicago

al, Bora Aktan et. 2009. "Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and Croatia.". https://www.efri.hr/sites/efri.hr/files/cr-collections/2/aktan-2009-1.pdf.

Harvard

al, B. A. E. 2009, Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and Croatia, Faculty of Economics University of Rijeka, available at: https://www.efri.hr/sites/efri.hr/files/cr-collections/2/aktan-2009-1.pdf [Accessed 8 Aug. 2026].

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Title: Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and Croatia

Author / contributors: Bora Aktan et al

Publisher: Faculty of Economics University of Rijeka

Publication year: 2009

ISSN: 1331-8004

ISSN: 1331-8004

Language: English

Subjects

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Financial crisis; Emerging markets; Value at Risk; Extreme value theory; Hybrid historical simulation