CVaR in Measuring Sector's Risk on the Croatian Stock Exchange

1. Acerbi, C., Tasche, D. (2002), “On the coherence of expected shortfall”, Journal of Banking & Finance, Vol. 26, No. 7, pp. 1487-1503.10.1016/S0378-4266(02)00283-2Search in Google Scholar

2. Allen, D. E., Kramadibrata, A. R., Powell, R. J., Singh, A. K. (2012), ”Identifying European Industries with Extreme Default Risk: Application of CVaR Techniques to Transition Matrices”, World Review of Business Research, Vol. 2, No. 6, pp. 46-58.Search in Google Scholar

3. Anić, I. D. (2017), “Sektorske analize - Trgovina na malo” (Sectoral Analysis - Retail), Sektorske analize, Vol. 6, No. 52, pp. 1-23.Search in Google Scholar

4. Artzner, P., Delbaen, F., Eber, J. M., Heath, D. (1999), “Coherent Measures of Risk”, Mathematical Finance, Vol. 9, No. 3, pp. 203-228.10.1111/1467-9965.00068Search in Google Scholar

5. Basel Committee on Banking Supervision (2004), “International Convergence of Capital Measurement and Capital Standards: A Revised Framework”, Bank for International Settlements, available at: http://www.bis.org/publ/bcbs107.pdf (30 May 2017).Search in Google Scholar

6. Buturac, G. (2017), “Sektorske analize - Građevinarstvo i nekretnine” (Sectoral Analysis -Construction and Real Estate), Sektorske analize, Vol. 6, No. 56, pp. 1-23.Search in Google Scholar

7. Dowd, K. (2002), “Measuring market risk”, John Wiley and Sons, Chichester, New York.Search in Google Scholar

8. Hafsa, H. (2015), “CVaR in Portfolio Optimization: An Essay on the French Market”, International Journal of Financial Research, Vol. 6, No. 2, pp. 101-111.10.5430/ijfr.v6n2p101Search in Google Scholar

9. Jerončić, M., Aljinović, Z. (2011), “Formiranje optimalnog portfelja pomoću Markowitzevog modela uz sektorsku podjelu kompanija” (Creating an optimal portfolio using Markowitz's model with a sectoral division of the companies), Ekonomski pregled, Vol. 62, No. 9-10, pp. 583-606.Search in Google Scholar

10. Krokhmal, P., Palmquist, J., Uryasev, S. (2002), “Portfolio optimization with ConditionalValue-at-Risk Objective and Constraints”, The Journal of Risk, Vol. 4, No. 2, pp. 11-27.Search in Google Scholar

11. Letmark, M. (2010), “Robustness of Conditional Value-at-Risk (CVaR) when measuring market risk across different asset classes”, Master's thesis, Royal Institute of Technology, Stockholm, available at: http://arc.hhs.se/download.aspx?MediumId=189/ (21 August 2017).Search in Google Scholar

12. Mirošević, H. (2015), “Sektorske analize - Turizam” (Sectoral Analysis - Tourism), Sektorske analize, Vol. 4, No. 41, pp. 1-15.Search in Google Scholar

13. Pérignon, C., Smith D. R. (2010), “The level and quality of Value-at-Risk disclosure by commercial banks”, Journal of Banking & Finance, Vol. 34, No. 2, pp. 362-377.10.1016/j.jbankfin.2009.08.009Search in Google Scholar

14. Rašić Bakarić, I. (2017), “Sektorske analize - Turizam” (Sectoral Analysis - Tourism), Sektorske analize, Vol. 6, No. 57, pp. 1-27.Search in Google Scholar

15. Rootzen, H., Kluppelberg, C. (1999), “A single number can't hedge against econoic catastrophes”, Ambio, Vol. 28, No.6, pp. 550-555.Search in Google Scholar

16. Sharma M. (2012), “The Historical Simulation Method for Value-at-Risk: A Research Based Evaluation of the Production Favourite”, available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2042594 (25 February 2018).10.2139/ssrn.2042594Search in Google Scholar

17. Tran, N. P., Vo, D. H., Pham, T. N. (2017), “Measuring market risks for industries in Vietnam: the VaR and CVaR approaches”, available at: http://veam.org/wpcontent/uploads/2017/12/46.-Tran-Phu-Ngoc.pdf (7 January 2018).Search in Google Scholar

18. Uryasev, S. (2000), “Conditional Value-at-Risk (CVaR): Optimization Algorithms and Applications”, Financial Engineering News, No. 14, pp. 1-5.Search in Google Scholar

19. Uryasev, S., Serriano, G., Sarykalin, S. (2008): “Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization”, Tutorials in Operation Research, INFORMS, available at: http://www.ise.ufl.edu/uryasev/files/2011/11/VaR_vs_CVaR_INFORMS.pdf (30 May 2017)Search in Google Scholar

20. Van den Goorbergh, R. W. J., Vlaar, P. (1999), “Value-at-Risk Analysis of Stock Returns Historical Simulation, Variance Techniques or Tail Indeks Estimation?”, De Nederlandsche Bank Staff Reports, No. 40, available at: https://www.dnb.nl/binaries/sr040_tcm46-146818.pdf (30 May 2017).Search in Google Scholar

21. Žic, T. (2008), “Pad indeksa vozarina pridonio urušavanju brodarskih dionica” (The decline in the cargo index contributed to the collapse of shipping shares), Poslovni dnevnik, available at: http://www.poslovni.hr/burze/pad-indeksa-vozarina-pridonio-urusavanjubrodarskih-dionica-96691 (7 January 2018).Search in Google Scholar