INTERNACIONALNI UNIVERZITET TRAVNIK U TRAVNIKU
SAOBRAĆAJNI FAKULTET TRAVNIK U TRAVNIKU
EKOLOŠKI FAKULTET TRAVNIK U TRAVNIKU
FAKULTET INFORMACIONIH TEHNOLOGIJA TRAVNIK U TRAVNIKU
FAKULTET POLITEHNIČKIH NAUKA TRAVNIK U TRAVNIKU
u saradnji sa
FAKULTETA ZA LOGISTIKO UNIVERZA V MARIBORU, SLOVENIJA
organizuju
33. MEĐUNARODNU KONFERENCIJU
"IZAZOVI NOVIH TEHNOLOGIJA U FUNKCIJI MOBILNOSTI I ODRŽIVOG RAZVOJA"
15. - 16. maj 2026. godine
University of Tuzla , Tuzla , Bosnia and Herzegovina
International University of Travnik , Travnik , Bosnia and Herzegovina
International University of Travnik , Travnik , Bosnia and Herzegovina
This example demonstrates how to model the market risk of the hypothetical global index of capital using simulation techniques using Copula and Extreme Value (EVT) theory. The process first draws out the filtered residues from each backstop with an asymmetric GARCH model, then constructs a marginal cumulative distribution function (CDF) for each agent using Gaussian inner core estimation and generalized Pareto Distribution (GPD) estimate for the upper and lower bound. The clot then corresponds to the data and is used to induce correlation between the simulated residues of each agent. Finally, the simulation estimates the risk value (VaR) of the hypothetical global portfolio of capital over a monthly horizon. Keep in mind that this is a relatively advanced, comprehensive example that assumes some knowledge of EVT and copula. Untreated data consists of 2665 observations of the daily values of the closure of representative equity indices covering trading dates April 27, 1993. to 14 July 2003. This example can also be used to evaluate the market and for the Bihme area, but we will leave thiat to some future researchers.
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