Articles by Nikola Radivojević
Expected shortfall model based on a neural network
This paper presents a model that combines ES models based on EVT and neural networks and meets all criteria for the validity of the Basel III standard.
Measuring expected shortfall under semi-parametric expected shortfall approaches: a case study of selected Southern European/Mediterranean countries
In this paper, the authors investigate the applicability of semi-parametric approaches for estimating expected shortfall.
New historical bootstrap value-at-risk model
This paper presents a new value-at-risk (VaR) model for the estimation of market risk in banks and other financial institutions.
Testing value-at-risk models in emerging markets during crises: a case study on South Eastern European countries
This paper examines the applicability of a wide range of VaR models in emerging markets, focusing on South Eastern European countries.