MARKET RISK ASSESSMENT USING ANALYTICAL METHOD DURING THE GLOBAL FINANCIAL CRISIS: A CASE STUDY OF THE TRADING PORTFOLIO ON THE BELGRADE STOCK EXCHANGE

Abstract

This research analyzes the market risk of a portfolio containing continuously traded stocks on the Belgrade Stock Exchange during the global financial crisis of 2008–2009. Utilizing the Value-at-Risk (VaR) model through an analytical approach, it examines potential losses at varying confidence intervals. The method's effectiveness is evaluated based on the failure rate, identifying the confidence level at which the model proves reliable under the specified conditions. The analysis contributes to a better understanding of how traditional risk assessment tools perform in emerging markets during periods of heightened volatility. Additionally, it highlights the importance of model calibration and backtesting in capturing extreme market movements.