Ivica Terzić - Academia.edu (original) (raw)
Papers by Ivica Terzić
Energies, 2021
The purpose of this study is to determine the impact of households’ energy autonomy on a country’... more The purpose of this study is to determine the impact of households’ energy autonomy on a country’s energy independence level, to identify prospects and risks. To assess the economic efficiency of households’ energy autonomy, the study used a modeling method based on maximizing the net present value, determining the average notional cost of energy efficiency and the level of energy independence in 20 countries. Based on the analysis of the volumes of electricity consumption by households in the studied countries for the period 2000–2018, it was revealed that in developed and developing countries there is an increase in this indicator. Diagnostics of the investment attractiveness of the installation and operation of energy systems for households makes it possible to determine the boundaries of a possible increase in the level of their energy autonomy. The scientific novelty of the research is represented by the proposed methodological approach, which makes it possible to assess the le...
ZBORNIK RADOVA UNIVERZITETA SINERGIJA, 2016
Značaj stalnih sredstava za poslovanje jednog privrednog društva može se uporediti sa kvalitetom ... more Značaj stalnih sredstava za poslovanje jednog privrednog društva može se uporediti sa kvalitetom temelja jedne građevine. Iz tog razloga svako tržišno orjentisano preduzeće mora voditi računa o strukturi i kvalitetu svojih stalnih sredstava. Zbog specifičnosti prenosa svoje vrednosti na proizvod ili uslugu svako pogrešne evidentiranje i obračunvanje amortizacije može dovesti u pitanje buduće poslovanje. Cilj ovog rada bio je da ispita udeo kumulativnih suma troškova amortizacije u stalnim sredstvima, poslovnim prihodima i rashodima tokom perioda ekonomske krize. Rezultati ukazuju da dolazi do konstantnog opadanja udela amortizacije u stalnim sredstvima, što se može objasniti činjenicom da su kompanije u Republici Srbiji i pored teškog privrednog ambijenta ipak ulagale u pozicije stalnih sredstava. Tokom analiziranog perioda kompanije su ulagale u klase stalnih sredstva koje imaju dug period amortizacije. Uglavnom su investicije u stalna sredstva usmerena ka nekretninama i dugoročnim...
Ekonomika preduzeca, 2015
Za ekonomiju Srbije preorijentacija na proizvodnju zasnovanu na izvozu nema alternative. To zahte... more Za ekonomiju Srbije preorijentacija na proizvodnju zasnovanu na izvozu nema alternative. To zahteva temeljnu promenu dosadašnjeg modela razvoja i kreiranje izvozne strategije koja će biti podržana merama ekonomske politike. Cilj ovog rada je da na bazi analize poslovnih performansi izvoznika u periodu od 2008. do 2014. godine identifikuje uspešne, izvozno konkurentne kompanije. Kreirana je baza podataka za posmatrani period koja se sastoji od bilansa oko 4000 preduzeća izvoznika, zatim od njihovog ostvarenog izvoza i uvoza, kao i od statističkih podataka o njihovom poslovanju. Na bazi analize 100 najvećih izvoznika izvršeno je segmentiranje po kriterijumima veličine preduzeća izvoznika, sektora iz kojih dolaze, tehnološke razvijenosti, koncentracije i disperzije izvoza. Na bazi izvršene analize utvrđeno je da u Srbiji postoji mali broj konkurentnih neto izvoznika, uz visoku koncentraciju izvoza usmerenu na usku grupu preduzeća koja su pretežno u vlasništvu stranih kompanija. Ova preduzeća, kao investitori, privučena su uglavnom niskom cenom radne snage i državnim stimulacijama. Zbog dubine strukturnih poremećaja, Srbija ne može preokrenuti negativne trendove ukoliko se uporedo sa fiskalnom konsolidacijom i poboljšanjem uslova poslovanja ne bude kreirala i sprovodila kvalitetna izvozna strategija, uz direktne i indirektne stimulacije izvoza koje su u postojećoj situaciji neophodne.
Proceedings of the 1st International Scientific Conference - FINIZ 2015, 2015
This paper analyses the methods for validation of risk model and provides an overview of the pres... more This paper analyses the methods for validation of risk model and provides an overview of the present literature related to the validation and evaluation of VaR model success. The importance of validating a risk model originates from the fact that financial institutions are authorised by regulatory bodies to use in-house models for the evaluation of VaR and assess capital adequacy based on that. To that end, the regulator has also developed the so-called "traffic light "approach for model back testing. However, the latest financial crisis has shown that such an approach to model validation did not provide good evaluations of VaR model, which severely underestimated risk and led to failure of many banks throughout the world. Due to that, academic literature is more than ever focused on reviewing and developing new techniques and procedures for the risk model verification. Therefore, the aim of this paper is to offer a comparative overview of market risk validation models that have evolved over the last few years.
Ekonomika, 2015
The purpose of this paper is to investigate the impact of liquidity on large companies (LC). Liqu... more The purpose of this paper is to investigate the impact of liquidity on large companies (LC). Liquidity ratios are indicative of the company's ability to pay its due debts and therefore are a good indicator of its current financial performance. The sample used in research consists of financial statements of 794 companies prepared for the period 2007-2013. During the observed period, the share of current assets in the company's total assets recorded a decline which means that fixed assets have a faster growth rate than current assets. The results obtained indicate that managers minimize the value of supplies within the structure of current assets. Calculated values of liquidity ratio are not compliant with applicable theory which leads us to conclusion that the companies classified as large companies have poor and insufficient coverage of short-term liabilities with current assets. However, ratio shows the positive trend and the first signs of recovery of large companies in regard to liquidity. Analysis of the companies per industry shows that not all companies were equally affected by the economic crisis. Entertainment industry and craft industry are the most liquid one while the construction industry is the least liquid.
Ekonomika, 2016
Within this paper we shall research the validation methods of the risk model and we shall provide... more Within this paper we shall research the validation methods of the risk model and we shall provide an overview of the existing literature which deals with validation and performance assessment of the VaR (Value at Risk) model. The importance of backtesting of the risk model stems from the fact that credit institutions have been allowed by regulatory bodies to use internal model-based approach to market risk measurement and based on such assessments, to determine the capital adequacy. Therefore, the regulator has developed a "traffic light" approach for the backtesting model. However, the last financial crisis has shown that this approach of model validation has failed to provide valid assessments of the VaR model, which has further led to significant underestimation of the risk and a collapse of many banks worldwide. For this very reason, the academic literature has been focused more than ever before, on proposal and development of new techniques for the verification of the risk model. Therefore, the aim of this paper is to provide a comparative overview of the validation methods of the market risk model, which have evolved during the past several years.
Proceedings of the 9th International Scientific Conference - FINIZ 2022
In the last few years there have been significant changes in financial sector on the global level... more In the last few years there have been significant changes in financial sector on the global level. The aim of this paper is to analyze banking sectors and make a comparative analysis between Serbia, Montenegro and Croatia, given that the banking sector takes up the biggest part of financial sector in these countries. The covered period of the analysis is 2017-2021 and selected ratios of concentration were calculated to define market structures in these countries. Market changes are also reflected in the reduced number of banks due to mergers and acquisitions in the last few years. The results of the static and dynamic analysis of concentration indicate that Serbia's banking sector is slightly less concentrated than Croatia's and Montenegro's banking sector. The decrease in the number of the banks had a significant impact on market structure and it will draw attention to further research.
ABSTRACT Sažetak: Brza globalizacija finansijskih tržišta, inovacije u dizajniranju izvedenih har... more ABSTRACT Sažetak: Brza globalizacija finansijskih tržišta, inovacije u dizajniranju izvedenih hartija od vrednosti, kao i primeri spektakularnih gubitaka povezanih sa finansijskim instrumentima tokom protekle dve decenije, primorale su institucionalne i individualne investitore da prepoznaju sve veći značaj upravljanja rizikom. U ovom radu istražujemo uspešnost istorijske simulacije kao modela rizične vrednosti (VaR) na uzorku dnevnih prinosa na nemački DAX i srpski Belex 15 berzanski indeks u periodu pre i tokom svetske ekonomske krize. Nakon sprovedena tri različita backtesta za ocenu preciznosti VaR modela, dobijeni rezultati ukazuju na zaključak da za vreme trajanja krize testirani VaR modeli, s izuzetkom IS (500) 95% VaR modela, značajno podcenjuju stvarni rizik na analiziranim tržištima. Abstract: Rapid globalization of financial markets, innovations in the design of derivatives securities, and examples of spectacular losses associated with financial instruments over the past two decades have made institutional and individual investors recognize the growing importance of risk management. In this paper we investigate performance of historical simulation Value at Risk model with the daily returns of German (DAX) and Serbian (BELEX 15) stock index prior to and during financial crisis. After doing three different backtests for evaluating accuracy of VaR, results indicate that during the crisis period all tested VaR models, except HS (500) 95% VaR model, seriously underpredict the true level of risk in analyzed markets.
Proceedings of the 7th International Scientific Conference - FINIZ 2020, 2020
The subject matter of this paper is to analyse the tax evasion by micro-enterprises in Serbia in ... more The subject matter of this paper is to analyse the tax evasion by micro-enterprises in Serbia in respect of income tax. By applying Benford's law, we will empirically determine the degree of authenticity of the revenues disclosed by micro-enterprises in their financial statements and whether the tax base to which income tax is paid is disclosed realistically. The research was conducted on a sample of 45 microcompanies and analysis of their financial statements for the period from 2017 to 2019. The research results show that micro-enterprises in Serbia, for the most part, disclose their net income realistically and in accordance with Benford's law, meaning they don't show the tendency to underestimate their income with the aim to pay lower taxes or avoid paying them entirely. However the worrying results were obtained when the operating profit was tested. The findings of this research may yield great benefits both to auditors and tax authorities.
SEEPEX a.d. Beograd is a licensed operator in an organised electricity market launched early in 2... more SEEPEX a.d. Beograd is a licensed operator in an organised electricity market launched early in 2016. Clearly, SEEPEX is a very young power exchange in the early stages of development, making the time series required for an analysis of trade and overall market performance rather short. The authors studied trade data available between the birth of SEEPEX and the end of 2019, which is a long enough period to draw conclusions as to the possibility of predicting volatility and the price of power traded on SEEPEX in the observed period.
Energies, 2020
The purpose of this study is to assess the impact of non-financial factors in the structure of a ... more The purpose of this study is to assess the impact of non-financial factors in the structure of a financial audit on its quality in energy companies. To assess the impact of the audit on performance indicators of companies under study, it is proposed to use the authors’ method by determining the length of the integrated audit vector as well as analysis of variance. The study was carried out on the basis of materials from five large energy (oil and gas) companies from different countries. Santos’ conversion of oil well pumps to solar power has clear environmental benefits. Gazprom’s social responsibility has, although stable, the lowest results. When conducting a financial audit, this component of performance does not have a significant impact. This explains the company’s focus on financial performance. The most effective corporate social responsibility is characteristic of Pioneer Natural Resources (PNR). In Gazprom and E.ON, despite the annual increase in financial indicators accord...
Proceedings of the International Scientific Conference FINIZ 2016, 2016
ZBORNIK RADOVA UNIVERZITETA SINERGIJA, 2016
U savremenim uslovima poslovanja kada se putem informacionih tehnologija podaci mogu na raznovrsn... more U savremenim uslovima poslovanja kada se putem informacionih tehnologija podaci mogu na raznovrsne načine sortirati i obraditi javlja se mogućnost za prikazivanje iskrivljenih podataka o stvarnom poslovanju jedne kompanije. Manipulacija od strane menadžmenta sa finansijskim izveštajima je tema koja je uvek privlačila pažnju naučnih krugova. Svrha sprovedenog istraživanja je bio da ukaže na postojanje opravdane sumnje da kompanije u Republici Srbiji na neispravan način prikazuju svoje prihode i prilive novca iz poslovne aktivnosti u finansijskim izveštajima. Uzorak se sastojao od prikupljenih finansijskih izveštaja za 4031 kompaniju za period od 3. godine. Istraživanje je pokazalo da postoji mnogo veća sumnja u ispravnost prikazivanja priliva novca iz poslovnih aktivnosti nego u prikazivanju poslovnih prihoda. Iz ovog razloga zaključeno je da prilikom sastavljanja izveštaja o tokovima gotovine puno računovođa se ne pridržava pisanih zakonskih odredbi ili ne poseduje adekvatno znanje ...
Mediterranean Journal of Social Sciences, 2014
This paper evaluates the forecasting performance of Value at Risk (VaR) method based on two wide ... more This paper evaluates the forecasting performance of Value at Risk (VaR) method based on two wide spread approaches, historical simulation and Risk Metrics, before and after the sub-prime crisis in the context of developed and emerging capital markets. We present results on both VaR 1% and VaR 5% on a one-day horizon for Belex 15 and SAX. For comparative purposes, the paper also focuses on the DJIA and the STOXX Eastern Europe Total Market Index, an index representative of emerging European stock markets. In order to validate accuracy of VaR results we employ different back test techniques. Results indicate that the relative performance of VaR as a measure of market risk significantly underestimates the true level of market risk in Serbian stock market, in contrast to Slovak, where standard VaR approaches accurately capture market risk exposure. Results also provide evidence that the characteristic of stock markets and their asset returns in combination with the desired confidence level and risk horizon determine how well a certain approach performs on a certain stock market.
Ekonomika poljoprivrede, 2016
Agricultural export in Serbia is dominated by primary agricultural products with highly processed... more Agricultural export in Serbia is dominated by primary agricultural products with highly processed products having only 20% share in total exports. Low share of the processed agricultural products in total exports provides an opportunity to increase export and change its structure towards higher value-added products. In order for it to happen, the food-processing industry focused on processing domestic agricultural products needs further development. In this paper, we have analysed business performance of 15 largest exporters in the food-processing industry with the aim to get insight into their export competitiveness. The paper concludes that these companies are large net exporters that provide high added value to the country's economy. However, business performance of the exporters under analysis are not satisfactory and their export competitiveness needs the improving. According to projections, the upcoming period will bring the most difficult challenges for the sugar-producing companies while the fruit-processing sector has the best long-term potential for export growth.
ZBORNIK RADOVA UNIVERZITETA SINERGIJA, 2016
Globalna finansijska kriza je pokazala da mnoge metrike rizika nisu uspele da predvide krahove fi... more Globalna finansijska kriza je pokazala da mnoge metrike rizika nisu uspele da predvide krahove finansijskih tržišta širom sveta. Posledice krize su se poput domino efekta prenele i na manje razvijena tržišta, učinivši ih praktično nelikvidnim. Cilj ovog rada je da testiramo metrike rizika zasnovane na VaR pristupu na manje likvidnim tržištima na primeru Banjalučke berze. Testirana je aplikativnost nekoliko najčešće korišćenih VaR modela i njihova verifikacija. Glavni nalazi istraživanja pokazuju da model VaR-a zasnovan na pristupima istorijskoe simulacije i Risk Metrics metodologije daje zadovoljavajuću procenu izloženosti tržišnom riziku kada je u pitanju investiranje na tržištu kapitala Republike Srpske.
Bankarstvo, 2016
Globalna finansijska kriza ukazala je na značajne slabosti postojećih modela merenja rizika na fi... more Globalna finansijska kriza ukazala je na značajne slabosti postojećih modela merenja rizika na finansijskim tržištima. Posebno je izražena potreba za unapređivanjem i daljim razvojem modela finansijskog rizika na tržištima kapitala u zemljama u tranziciji. U ovom radu bavimo se mogućnošću predviđanja i ponašanjem raznih klasa VaR modela usredsređujući se na tržište kapitala u Srbiji od 2005. do kraja 2015. godine. U postupku procene tržišnog rizika implementirali smo različite VaR modele, a za validaciju VaR modela, koristili smo dvofazni postupak "backtestinga". Rezultati ukazuju da se VaR model, baziran na simetričnom GARCH modelu sa GED raspodelom inovacija, ponaša opravdano dobro u periodu testiranja izvan uzroka. Najbolje rezultate daje filtrirana istorijska simulacija za interval poverenja od 99%. Ovi rezultati istraživanja ukazuju da standardni VaR modeli koji se najčešće koriste u finansijskim institucijama potcenjuju predviđanja rizika na tržištu kapitala u Srbiji u svim tržišnim okolnostima. Autori stoga sugerišu regulatornim telima i investitorima da za tržište kapitala u Srbiji uvedu robusnije i kompleksnije mere rizika.
Proceedings of the International Scientific Conference - Sinteza 2016, 2016
Contemporary method of doing business requires that managers have at their disposal at all times ... more Contemporary method of doing business requires that managers have at their disposal at all times information about the results achieved both by the company as a whole and by its individual organizational units or its products and services. In the circumstances characterized by globalism and unhindered movement of capital, monitoring business operations would be unthinkable without integrated business solutions. Activities and processes carried out within an organisation are mutually interconnected and interdependent, and therefore must be synchronised in order to maximise available resources and obtain information in a timely fashion. The implementation of integrated business solutions is precisely what facilitates efficient management of companies that are geographically dispersed and that carry on complex and multiple business operations. The objective of this paper is to analyse the roles and functions which enterprise resource planning (ERPs) solutions have within the business organisation and on improving organisation's efficiency and quality in terms of its business operations and decision-making process.
Proceedings of the International Scientific Conference - Synthesis 2015, 2015
Predmet ovog istraživanja je analiza likvidnosti preduzeća koja su po zakonu o računovodstvu razv... more Predmet ovog istraživanja je analiza likvidnosti preduzeća koja su po zakonu o računovodstvu razvrstana kao velika pravna lica. Koeficijenti likvidnosti izračunati su na bazi zvaničnih finansijskih izveštaja preuzetih od Agencije za privredne registre. Istraživanje je obuhvatilo 794 preduzeća za period od 2007 do 2013. godine. Rezultati pokazuju da tokom analiziranog perioda dolazi do promene u strukturi obrtnih sredstava, i da finansijski menadžeri teže da smanje zalihe i povećaju vrednost gotovine. Izračunato je da udeo obrtnih u stalnim sredstvima opada što govori da tokom krize stalna sredstva rastu brže od obrtnih. Utvrđeno je da vrednost koeficijenata likvidnosti nije na nivou koji propisuje teorija, ali primetan je trend njihovog rasta, što je pozitivna činjenica i ukazuje na prve znake oporavka velikih preduzeća. Analiza po sektorima ukazala je da je sa stanovišta likvidnosti sektor građevinarstva najugroženiji, a da su sektori stručnih delatnosti i zabave najmanje pogođeni ekonomskom krizom.
Energies, 2021
The purpose of this study is to determine the impact of households’ energy autonomy on a country’... more The purpose of this study is to determine the impact of households’ energy autonomy on a country’s energy independence level, to identify prospects and risks. To assess the economic efficiency of households’ energy autonomy, the study used a modeling method based on maximizing the net present value, determining the average notional cost of energy efficiency and the level of energy independence in 20 countries. Based on the analysis of the volumes of electricity consumption by households in the studied countries for the period 2000–2018, it was revealed that in developed and developing countries there is an increase in this indicator. Diagnostics of the investment attractiveness of the installation and operation of energy systems for households makes it possible to determine the boundaries of a possible increase in the level of their energy autonomy. The scientific novelty of the research is represented by the proposed methodological approach, which makes it possible to assess the le...
ZBORNIK RADOVA UNIVERZITETA SINERGIJA, 2016
Značaj stalnih sredstava za poslovanje jednog privrednog društva može se uporediti sa kvalitetom ... more Značaj stalnih sredstava za poslovanje jednog privrednog društva može se uporediti sa kvalitetom temelja jedne građevine. Iz tog razloga svako tržišno orjentisano preduzeće mora voditi računa o strukturi i kvalitetu svojih stalnih sredstava. Zbog specifičnosti prenosa svoje vrednosti na proizvod ili uslugu svako pogrešne evidentiranje i obračunvanje amortizacije može dovesti u pitanje buduće poslovanje. Cilj ovog rada bio je da ispita udeo kumulativnih suma troškova amortizacije u stalnim sredstvima, poslovnim prihodima i rashodima tokom perioda ekonomske krize. Rezultati ukazuju da dolazi do konstantnog opadanja udela amortizacije u stalnim sredstvima, što se može objasniti činjenicom da su kompanije u Republici Srbiji i pored teškog privrednog ambijenta ipak ulagale u pozicije stalnih sredstava. Tokom analiziranog perioda kompanije su ulagale u klase stalnih sredstva koje imaju dug period amortizacije. Uglavnom su investicije u stalna sredstva usmerena ka nekretninama i dugoročnim...
Ekonomika preduzeca, 2015
Za ekonomiju Srbije preorijentacija na proizvodnju zasnovanu na izvozu nema alternative. To zahte... more Za ekonomiju Srbije preorijentacija na proizvodnju zasnovanu na izvozu nema alternative. To zahteva temeljnu promenu dosadašnjeg modela razvoja i kreiranje izvozne strategije koja će biti podržana merama ekonomske politike. Cilj ovog rada je da na bazi analize poslovnih performansi izvoznika u periodu od 2008. do 2014. godine identifikuje uspešne, izvozno konkurentne kompanije. Kreirana je baza podataka za posmatrani period koja se sastoji od bilansa oko 4000 preduzeća izvoznika, zatim od njihovog ostvarenog izvoza i uvoza, kao i od statističkih podataka o njihovom poslovanju. Na bazi analize 100 najvećih izvoznika izvršeno je segmentiranje po kriterijumima veličine preduzeća izvoznika, sektora iz kojih dolaze, tehnološke razvijenosti, koncentracije i disperzije izvoza. Na bazi izvršene analize utvrđeno je da u Srbiji postoji mali broj konkurentnih neto izvoznika, uz visoku koncentraciju izvoza usmerenu na usku grupu preduzeća koja su pretežno u vlasništvu stranih kompanija. Ova preduzeća, kao investitori, privučena su uglavnom niskom cenom radne snage i državnim stimulacijama. Zbog dubine strukturnih poremećaja, Srbija ne može preokrenuti negativne trendove ukoliko se uporedo sa fiskalnom konsolidacijom i poboljšanjem uslova poslovanja ne bude kreirala i sprovodila kvalitetna izvozna strategija, uz direktne i indirektne stimulacije izvoza koje su u postojećoj situaciji neophodne.
Proceedings of the 1st International Scientific Conference - FINIZ 2015, 2015
This paper analyses the methods for validation of risk model and provides an overview of the pres... more This paper analyses the methods for validation of risk model and provides an overview of the present literature related to the validation and evaluation of VaR model success. The importance of validating a risk model originates from the fact that financial institutions are authorised by regulatory bodies to use in-house models for the evaluation of VaR and assess capital adequacy based on that. To that end, the regulator has also developed the so-called "traffic light "approach for model back testing. However, the latest financial crisis has shown that such an approach to model validation did not provide good evaluations of VaR model, which severely underestimated risk and led to failure of many banks throughout the world. Due to that, academic literature is more than ever focused on reviewing and developing new techniques and procedures for the risk model verification. Therefore, the aim of this paper is to offer a comparative overview of market risk validation models that have evolved over the last few years.
Ekonomika, 2015
The purpose of this paper is to investigate the impact of liquidity on large companies (LC). Liqu... more The purpose of this paper is to investigate the impact of liquidity on large companies (LC). Liquidity ratios are indicative of the company's ability to pay its due debts and therefore are a good indicator of its current financial performance. The sample used in research consists of financial statements of 794 companies prepared for the period 2007-2013. During the observed period, the share of current assets in the company's total assets recorded a decline which means that fixed assets have a faster growth rate than current assets. The results obtained indicate that managers minimize the value of supplies within the structure of current assets. Calculated values of liquidity ratio are not compliant with applicable theory which leads us to conclusion that the companies classified as large companies have poor and insufficient coverage of short-term liabilities with current assets. However, ratio shows the positive trend and the first signs of recovery of large companies in regard to liquidity. Analysis of the companies per industry shows that not all companies were equally affected by the economic crisis. Entertainment industry and craft industry are the most liquid one while the construction industry is the least liquid.
Ekonomika, 2016
Within this paper we shall research the validation methods of the risk model and we shall provide... more Within this paper we shall research the validation methods of the risk model and we shall provide an overview of the existing literature which deals with validation and performance assessment of the VaR (Value at Risk) model. The importance of backtesting of the risk model stems from the fact that credit institutions have been allowed by regulatory bodies to use internal model-based approach to market risk measurement and based on such assessments, to determine the capital adequacy. Therefore, the regulator has developed a "traffic light" approach for the backtesting model. However, the last financial crisis has shown that this approach of model validation has failed to provide valid assessments of the VaR model, which has further led to significant underestimation of the risk and a collapse of many banks worldwide. For this very reason, the academic literature has been focused more than ever before, on proposal and development of new techniques for the verification of the risk model. Therefore, the aim of this paper is to provide a comparative overview of the validation methods of the market risk model, which have evolved during the past several years.
Proceedings of the 9th International Scientific Conference - FINIZ 2022
In the last few years there have been significant changes in financial sector on the global level... more In the last few years there have been significant changes in financial sector on the global level. The aim of this paper is to analyze banking sectors and make a comparative analysis between Serbia, Montenegro and Croatia, given that the banking sector takes up the biggest part of financial sector in these countries. The covered period of the analysis is 2017-2021 and selected ratios of concentration were calculated to define market structures in these countries. Market changes are also reflected in the reduced number of banks due to mergers and acquisitions in the last few years. The results of the static and dynamic analysis of concentration indicate that Serbia's banking sector is slightly less concentrated than Croatia's and Montenegro's banking sector. The decrease in the number of the banks had a significant impact on market structure and it will draw attention to further research.
ABSTRACT Sažetak: Brza globalizacija finansijskih tržišta, inovacije u dizajniranju izvedenih har... more ABSTRACT Sažetak: Brza globalizacija finansijskih tržišta, inovacije u dizajniranju izvedenih hartija od vrednosti, kao i primeri spektakularnih gubitaka povezanih sa finansijskim instrumentima tokom protekle dve decenije, primorale su institucionalne i individualne investitore da prepoznaju sve veći značaj upravljanja rizikom. U ovom radu istražujemo uspešnost istorijske simulacije kao modela rizične vrednosti (VaR) na uzorku dnevnih prinosa na nemački DAX i srpski Belex 15 berzanski indeks u periodu pre i tokom svetske ekonomske krize. Nakon sprovedena tri različita backtesta za ocenu preciznosti VaR modela, dobijeni rezultati ukazuju na zaključak da za vreme trajanja krize testirani VaR modeli, s izuzetkom IS (500) 95% VaR modela, značajno podcenjuju stvarni rizik na analiziranim tržištima. Abstract: Rapid globalization of financial markets, innovations in the design of derivatives securities, and examples of spectacular losses associated with financial instruments over the past two decades have made institutional and individual investors recognize the growing importance of risk management. In this paper we investigate performance of historical simulation Value at Risk model with the daily returns of German (DAX) and Serbian (BELEX 15) stock index prior to and during financial crisis. After doing three different backtests for evaluating accuracy of VaR, results indicate that during the crisis period all tested VaR models, except HS (500) 95% VaR model, seriously underpredict the true level of risk in analyzed markets.
Proceedings of the 7th International Scientific Conference - FINIZ 2020, 2020
The subject matter of this paper is to analyse the tax evasion by micro-enterprises in Serbia in ... more The subject matter of this paper is to analyse the tax evasion by micro-enterprises in Serbia in respect of income tax. By applying Benford's law, we will empirically determine the degree of authenticity of the revenues disclosed by micro-enterprises in their financial statements and whether the tax base to which income tax is paid is disclosed realistically. The research was conducted on a sample of 45 microcompanies and analysis of their financial statements for the period from 2017 to 2019. The research results show that micro-enterprises in Serbia, for the most part, disclose their net income realistically and in accordance with Benford's law, meaning they don't show the tendency to underestimate their income with the aim to pay lower taxes or avoid paying them entirely. However the worrying results were obtained when the operating profit was tested. The findings of this research may yield great benefits both to auditors and tax authorities.
SEEPEX a.d. Beograd is a licensed operator in an organised electricity market launched early in 2... more SEEPEX a.d. Beograd is a licensed operator in an organised electricity market launched early in 2016. Clearly, SEEPEX is a very young power exchange in the early stages of development, making the time series required for an analysis of trade and overall market performance rather short. The authors studied trade data available between the birth of SEEPEX and the end of 2019, which is a long enough period to draw conclusions as to the possibility of predicting volatility and the price of power traded on SEEPEX in the observed period.
Energies, 2020
The purpose of this study is to assess the impact of non-financial factors in the structure of a ... more The purpose of this study is to assess the impact of non-financial factors in the structure of a financial audit on its quality in energy companies. To assess the impact of the audit on performance indicators of companies under study, it is proposed to use the authors’ method by determining the length of the integrated audit vector as well as analysis of variance. The study was carried out on the basis of materials from five large energy (oil and gas) companies from different countries. Santos’ conversion of oil well pumps to solar power has clear environmental benefits. Gazprom’s social responsibility has, although stable, the lowest results. When conducting a financial audit, this component of performance does not have a significant impact. This explains the company’s focus on financial performance. The most effective corporate social responsibility is characteristic of Pioneer Natural Resources (PNR). In Gazprom and E.ON, despite the annual increase in financial indicators accord...
Proceedings of the International Scientific Conference FINIZ 2016, 2016
ZBORNIK RADOVA UNIVERZITETA SINERGIJA, 2016
U savremenim uslovima poslovanja kada se putem informacionih tehnologija podaci mogu na raznovrsn... more U savremenim uslovima poslovanja kada se putem informacionih tehnologija podaci mogu na raznovrsne načine sortirati i obraditi javlja se mogućnost za prikazivanje iskrivljenih podataka o stvarnom poslovanju jedne kompanije. Manipulacija od strane menadžmenta sa finansijskim izveštajima je tema koja je uvek privlačila pažnju naučnih krugova. Svrha sprovedenog istraživanja je bio da ukaže na postojanje opravdane sumnje da kompanije u Republici Srbiji na neispravan način prikazuju svoje prihode i prilive novca iz poslovne aktivnosti u finansijskim izveštajima. Uzorak se sastojao od prikupljenih finansijskih izveštaja za 4031 kompaniju za period od 3. godine. Istraživanje je pokazalo da postoji mnogo veća sumnja u ispravnost prikazivanja priliva novca iz poslovnih aktivnosti nego u prikazivanju poslovnih prihoda. Iz ovog razloga zaključeno je da prilikom sastavljanja izveštaja o tokovima gotovine puno računovođa se ne pridržava pisanih zakonskih odredbi ili ne poseduje adekvatno znanje ...
Mediterranean Journal of Social Sciences, 2014
This paper evaluates the forecasting performance of Value at Risk (VaR) method based on two wide ... more This paper evaluates the forecasting performance of Value at Risk (VaR) method based on two wide spread approaches, historical simulation and Risk Metrics, before and after the sub-prime crisis in the context of developed and emerging capital markets. We present results on both VaR 1% and VaR 5% on a one-day horizon for Belex 15 and SAX. For comparative purposes, the paper also focuses on the DJIA and the STOXX Eastern Europe Total Market Index, an index representative of emerging European stock markets. In order to validate accuracy of VaR results we employ different back test techniques. Results indicate that the relative performance of VaR as a measure of market risk significantly underestimates the true level of market risk in Serbian stock market, in contrast to Slovak, where standard VaR approaches accurately capture market risk exposure. Results also provide evidence that the characteristic of stock markets and their asset returns in combination with the desired confidence level and risk horizon determine how well a certain approach performs on a certain stock market.
Ekonomika poljoprivrede, 2016
Agricultural export in Serbia is dominated by primary agricultural products with highly processed... more Agricultural export in Serbia is dominated by primary agricultural products with highly processed products having only 20% share in total exports. Low share of the processed agricultural products in total exports provides an opportunity to increase export and change its structure towards higher value-added products. In order for it to happen, the food-processing industry focused on processing domestic agricultural products needs further development. In this paper, we have analysed business performance of 15 largest exporters in the food-processing industry with the aim to get insight into their export competitiveness. The paper concludes that these companies are large net exporters that provide high added value to the country's economy. However, business performance of the exporters under analysis are not satisfactory and their export competitiveness needs the improving. According to projections, the upcoming period will bring the most difficult challenges for the sugar-producing companies while the fruit-processing sector has the best long-term potential for export growth.
ZBORNIK RADOVA UNIVERZITETA SINERGIJA, 2016
Globalna finansijska kriza je pokazala da mnoge metrike rizika nisu uspele da predvide krahove fi... more Globalna finansijska kriza je pokazala da mnoge metrike rizika nisu uspele da predvide krahove finansijskih tržišta širom sveta. Posledice krize su se poput domino efekta prenele i na manje razvijena tržišta, učinivši ih praktično nelikvidnim. Cilj ovog rada je da testiramo metrike rizika zasnovane na VaR pristupu na manje likvidnim tržištima na primeru Banjalučke berze. Testirana je aplikativnost nekoliko najčešće korišćenih VaR modela i njihova verifikacija. Glavni nalazi istraživanja pokazuju da model VaR-a zasnovan na pristupima istorijskoe simulacije i Risk Metrics metodologije daje zadovoljavajuću procenu izloženosti tržišnom riziku kada je u pitanju investiranje na tržištu kapitala Republike Srpske.
Bankarstvo, 2016
Globalna finansijska kriza ukazala je na značajne slabosti postojećih modela merenja rizika na fi... more Globalna finansijska kriza ukazala je na značajne slabosti postojećih modela merenja rizika na finansijskim tržištima. Posebno je izražena potreba za unapređivanjem i daljim razvojem modela finansijskog rizika na tržištima kapitala u zemljama u tranziciji. U ovom radu bavimo se mogućnošću predviđanja i ponašanjem raznih klasa VaR modela usredsređujući se na tržište kapitala u Srbiji od 2005. do kraja 2015. godine. U postupku procene tržišnog rizika implementirali smo različite VaR modele, a za validaciju VaR modela, koristili smo dvofazni postupak "backtestinga". Rezultati ukazuju da se VaR model, baziran na simetričnom GARCH modelu sa GED raspodelom inovacija, ponaša opravdano dobro u periodu testiranja izvan uzroka. Najbolje rezultate daje filtrirana istorijska simulacija za interval poverenja od 99%. Ovi rezultati istraživanja ukazuju da standardni VaR modeli koji se najčešće koriste u finansijskim institucijama potcenjuju predviđanja rizika na tržištu kapitala u Srbiji u svim tržišnim okolnostima. Autori stoga sugerišu regulatornim telima i investitorima da za tržište kapitala u Srbiji uvedu robusnije i kompleksnije mere rizika.
Proceedings of the International Scientific Conference - Sinteza 2016, 2016
Contemporary method of doing business requires that managers have at their disposal at all times ... more Contemporary method of doing business requires that managers have at their disposal at all times information about the results achieved both by the company as a whole and by its individual organizational units or its products and services. In the circumstances characterized by globalism and unhindered movement of capital, monitoring business operations would be unthinkable without integrated business solutions. Activities and processes carried out within an organisation are mutually interconnected and interdependent, and therefore must be synchronised in order to maximise available resources and obtain information in a timely fashion. The implementation of integrated business solutions is precisely what facilitates efficient management of companies that are geographically dispersed and that carry on complex and multiple business operations. The objective of this paper is to analyse the roles and functions which enterprise resource planning (ERPs) solutions have within the business organisation and on improving organisation's efficiency and quality in terms of its business operations and decision-making process.
Proceedings of the International Scientific Conference - Synthesis 2015, 2015
Predmet ovog istraživanja je analiza likvidnosti preduzeća koja su po zakonu o računovodstvu razv... more Predmet ovog istraživanja je analiza likvidnosti preduzeća koja su po zakonu o računovodstvu razvrstana kao velika pravna lica. Koeficijenti likvidnosti izračunati su na bazi zvaničnih finansijskih izveštaja preuzetih od Agencije za privredne registre. Istraživanje je obuhvatilo 794 preduzeća za period od 2007 do 2013. godine. Rezultati pokazuju da tokom analiziranog perioda dolazi do promene u strukturi obrtnih sredstava, i da finansijski menadžeri teže da smanje zalihe i povećaju vrednost gotovine. Izračunato je da udeo obrtnih u stalnim sredstvima opada što govori da tokom krize stalna sredstva rastu brže od obrtnih. Utvrđeno je da vrednost koeficijenata likvidnosti nije na nivou koji propisuje teorija, ali primetan je trend njihovog rasta, što je pozitivna činjenica i ukazuje na prve znake oporavka velikih preduzeća. Analiza po sektorima ukazala je da je sa stanovišta likvidnosti sektor građevinarstva najugroženiji, a da su sektori stručnih delatnosti i zabave najmanje pogođeni ekonomskom krizom.