Background: The concept of value at risk gives estimation of the maximum loss of financial position at a given time for a given probability. The motivation for this analysis lies in the desire to devote necessary attention to risks in Montenegro, and to approach to quantifying and managing risk...

In this paper we estimated not-overlapped monthly historic standard deviations of the S&P 500 Index returns for the period 1950 – 2009, then using extreme value theory we defined extreme volatility events and introduced an alternative “fear scale” that is compared with the “fear index”.

Operational risk is being considered as an important risk component for financial institutions as evinced by the large sums of capital that are allocated to mitigate this risk. Therefore, risl measurement is of paramount concern for the purposes of capital allocation, hedging, and new product...