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Classical financial market theories built upon the assumption of a perfect market have been coping with frictions on both developed and emerging markets. There are numerous factors affecting the operation of financial markets and their participants' behavior, but illiquidity is a continuous problem that has important consequences on the financial asset prices and the degree of competition between market participants. Moreover, investments that yield high profits are often the ones related to less liquid financial assets from emerging markets. Since investment decisions are based on risk preferences and investors are commonly risk averse, they tend to limit their risk exposure while defining their investment strategy. Various risk measures can be used to estimate the level of risk. Value at Risk (VaR) is a widely accepted summary measure of market risk that is also recommended by the financial industry regulatory authorities as a risk management tool. The usage of VaR models is rapidly expanding; thus, it is used by both financial and non-financial institutions in order to estimate exposure to financial risks, complement allocation of capital, set trading position limits and evaluate performance of trading strategies. However, the last global financial crisis that occurred in 2007-2008 highlighted some of the weaknesses of this measure as a measure of market risk. The lack of a liquidity parameter in methodologies used to compute VaR significantly decreased the effectiveness of this measure. Therefore, the objective of this research is to examine the implications of asset liquidity risk on market risk assessment, which is obtained by using VaR. The most frequently used technique for VaR estimation is the parametric (analytic) method, but the constant search for precise prediction models results in a large number of variations of basic parametric and non-parametric methods. Thus, in this research, the parametric VaR and volatility models are implemented on a sample representing the stock indices of the European emerging markets in the period from 2009 to 2017. The results of this study indicate that the application of a liquidity constraint in the VaR model provides more accurate assessment of potential loss, especially in emerging markets, and enables investors to detect the liquidity risk and its effect in comparison with a conventional VaR.

Natural disasters are rare events resulting in major losses, where data on the losses incurred in the past cannot be used as reliable indicators of future losses. They usually result in severe damage, which can represent a significant financial risk including the occurrence of insolvency in cases where the policy is not sufficient to cover the damage caused, or has not been defined properly. In the past two decades there has been a number of disastrous weather events whose frequency and intensity of detrimental consequences have been the key motivational factors for an accelerated implementation of innovative solutions for weather risk transfer. Natural disasters cost the insurance industry approximately $ 330 billion at the global level in 2018. The gap between the total economic and insured losses in the amount of $ 200 billion is the best evidence of the exposure of general population and economic entities to disastrous events. According to an estimate, the greatest damage in the future is likely to be caused by catastrophic weather events, floods in particular, especially as they did not get adequate attention by the entire insurance industry in the previous period and therefore the risk was underestimated. Developed countries are able to generate their own resources over a relatively short period of time in order to reduce the financial consequences of catastrophic weather events. Most developing countries are undergoing rapid urbanization, which is not accompanied by the development and application of an effective risk management strategy. Therefore catastrophic weather events have a more intensified destructive impact on the economies of less developed countries, as is the case in Serbia. The proactive approach and the use of new products in the insurance market are consequently important prerequisites for an effective weather risk management policy.

The motor vehicle belongs to a group of the most important contemporary human inventions. If we know that the degree of development of a country is also measured by a motor vehicle production volume, while the standard of living is measured by a number of cars per capita, the previous statement seems plausible. However, an automobile is a "dangerous thing". An occurrence of a risky event may not only do damage to a car as an object itself, but also cause damage or destruction of someone else's possession, or affect the health or lives of others, i.e. third parties. ...

Svrha istraživanja u doktorskoj disertaciji je bolje razumevanje uticaja strukture kapitala na vrednost korporacije. Kontroverzni rezultati dosadašnjih empirijskih istraživanja o uticaju strukture kapitala na vrednost korporacije mogu se pripisati zanemarivanju odnosa strukture kapitala i korporativnog upravljanja. Pored toga što struktura kapitala predstavlja finansijski instrument, treba je posmatrati i kao komplementarni ili supstitutivni instrument korporativnog upravljanja koji može pozitivno uticati na proces maksimiranja vrednosti korporacije. Predmet doktorske disertacije je uloga korporativnog upravljanja u procesu izbora optimalne strukture kapitala. Posebna pažnja će biti posvećena analizi uticaja agencijskih troškova na odnos stepena zaduženosti i vrednosti korporacije, kao i razmatranju mogućih pristupa za kontrolu ovih troškova alternativnim instrumentima korporativnog upravljanja. Osnovni cilj istraživanja je da se teorijsko-metodološki i empirijski sagleda priroda uticaja korporativnog upravljanja na odnos strukture kapitala i vrednosti korporacije. Empirijsko istraživanje na uzorku korporacija koje posluju u Srbiji ukazalo je na to da vrednost korporacija sa pozitivnim poslovnim rezultatom raste se rastom stepena zaduženosti. Stepen koncentracije vlasništva i udeo neizvršnih direktora u upravnom odboru imaju direktan uticaj na stepen zaduženosti. Disciplinujući efekat duga kod korporacija u Srbiji vremenom slabi ili nestaje, jer rast stepena ukupne zaduženosti dovodi do rasta agencijskih troškova duga. Jačina uticaja stepena zaduženosti na vrednost korporacije menja se u zavisnosti od veličine upravnog odbora. Struktura kapitala svoj uticaj na vrednost korporacije delimično ostvaruje putem korigovanja jačine uticaja stepena koncentracije vlasništva i udela neizvršnih direktora u upravnom odboru na vrednost korporacije, što ukazuje na to da dug predstavlja komplementarni interni instrument korporativnog upravljanja. The purpose of research in the doctoral thesis is a better understanding of the influence of the capital structure on the corporate value. Controversial results of the previous empirical research on the influence of the capital structure on the corporate value can be attributed to the neglect of the relationship between capital structure and corporate governance. In addition to the fact that the capital structure is a financial instrument, it should also be viewed as a complementary or substitute instrument of corporate governance that can positively influence the process of maximizing corporate value. The subject of this doctoral thesis is the role of corporate governance in the process of choosing an optimal capital structure. Special attention will be devoted to the analysis of the impact of agency costs on the relationship between the debt ratio and the corporate value, as well as to consideration of possible approaches to controlling these costs using alternative corporate governance instruments. The main aim of the research is to examine the theoretical, methodological and empirical nature of the influence of corporate governance on the relationship between the capital structure and the corporate value. Empirical research on a sample of corporations in Serbia indicated that the corporate value increases with the increase in the debt ratio for corporations that make a positive operating earnings. The level of ownership concentration and the proportion of nonexecutive directors on the board of directors have a direct impact on the capital structure. The disciplinary effect of debt in Serbian corporations is weakening or disappearing over time, as the increase in the total debt ratio leads to the increase in agency costs of debt. The impact of the debt ratio on the corporate value varies depending on the size of the board. The capital structure partially accomplishes its impact on the corporate value by correcting the strength of the influence of the ownership concentration and the proportion of nonexecutive directors on the board of directors on the corporate value, which indicates that debt represents a complementary internal corporate governance instrument.

Banking and insurance are two inseparably connected components of the financial services sector. In modern economy, which was especially evident in the 1990s in the previous century, the model of integrated cooperation between banks and insurance companies in the market has been increasingly apparent, and it can be perceived in the action of providing banking and insurance services simultaneously, through the model of bancassurance. This type of distribution, in most cases, implies the creation of specifically created product of life and non-life insurance specialized to be sold through the network of banking. Manifestations of bancаssurance are different from country to country and vary depending on the legal restrictions that apply to this sales channel. Bancassurance has numerous benefits in the times when competition at the financial market is at its highest, for banks as for the insurance companies. Mutual benefits can be seen through:the increase of sale/profit,expending the client list,maintaining the clients as well as,improvement of offer through creation of new products according to client’s structure and needs. Serbian insurance market is expected to experience growth in the following period, and with it the competition will like wise increase, as the number of insurance companies has been in constant growth. There is already a great competition between a large number of banks in the financial sector. Everything previously mentioned will condition the inevitable integration of banks and insurance companies in order to avoid the loss of clients. Previous results of the implementation of bancassurance in Republic of Serbia were a consequence of banks’ low interest in the further development of this mode of sale. This was conditioned by the fact that the structure of their profit was still dominated by the income based predominantly on interest. On the other hand, insurance companies base the sale of their product mainly on the traditional mode of sale. However, in the coming period, in accordance with global trends, it is expected a significant reduction in interest margins. This will affect the higher direction of commercial banks in the Republic of Serbia to the development of those types of services that will contribute to the increase in income from fees and commissions. This work is a presentation of the notion, development of bancassurance, strategy for approaching this mode of product distribution, distributional modes, operative procedures of bancassurance, the importance of motivation of bancassurance partakers, as well as the position of bancassurance in the world – comparative analysis. This work contains a representation of the legal acts of the Republic of Serbia as the basis for the introduction of bancassurance and the current level of its development. On the basis of facts obtained from research and analyzes conducted, the final result is displayed bancassurance model in the Republic of Serbia whose implementation can be concluded the largest number of life insurance policies (according to world experience), with a significant reduction in the administrative costs of insurance companies using the sales network of the bank and its customer base . The application of the model would imply a long-term benefit for banks, insurance companies, customers in the form of an integrated supply of financial services, but also the country as a whole. The development of bancassurance is closely linked with the growth of the insurance market. In that sense, this sales channel can become a driving force for further development of the financial services sector in the Republic of Serbia, having in mind the broader significance of the increase in the number of beneficiaries of life insurance brings one country.

One of the major challenges at the global level is the security of energy supply in conditions of reducing the stock of non-renewable energy sources, given the political instability in the countries which produce energy and uncertain natural disasters. What is relevant is a challenge that relates to the protection of the environment, reducing pollution and managing climate change. There is need for energy transition, which is only possible in the long term. Orientation towards renewable energy sources, reducing dependence on a single energy source, increasing the number of suppliers is a way to meet these challenges and ensure a higher level of not only energy, but also the economic, environmental, technological, political security. Energy security is a multidimensional concept that includes not only the elements of the concept of sustainable development, but also security of supply, the technical characteristics of the energy system, the political and security aspects. It is necessary to distinguish the energy security from energy dependence, because energy security problem is not related only to the imported energy dependence. Thus, energy security is an integral concept that combines different aspects in order to ensure long-term sustainability of energy supply. Any form of threat to the balance of the energy system can jeopardize GDP, political stability, and prosperity of the citizens. In order to monitor progress towards a sustainable way of using energy sources and achieving security of supply, energy indicators which can monitor and measure the change are needed. There are a number of indicators that show the level of energy security. They can be simple, but very complicated or complex. Complex indicators take into account the entire energy system from production to final consumption. In order to ensure objectivity in evaluating the level of energy security, the issue of this dissertation is the calculation of the composite index. On the basis of calculated general indicators of the level of energy security, in the form of a composite index of energy security, it is perceived position of Serbia in relation to the countries of the Western Balkans and the European Union and placed the basis for future research and prerequisites for the further development of the concept of energy security.

In addition to the basic function of personal insurance and property insurance, contemporary insurance companies are important financial institutions with an important function of mobilization and allocation of financial resources. The allocation of capital is achieved through investing premium-based insurance funds in a variety of placement options, mainly on financial markets. From the standpoint of insurance companies, such investments must also support solvency (liquid reserve assets) and provide a possible additional return on investment. Investment income earned through placement of available technical reserves, besides the contribution to the increase in earning power (value) of the company, provide conditions to offer insurance at a lower cost (premium) and strengthening the competitiveness of the insurer. A precondition for successful investment lies in a strong information-based support to the accounting system, adherence to the principles of investment and compliance with regulatory and professional normative framework. Under the conditions of the Global financial crisis, what was imposed on insurance companies was the imperative application of specific investment strategies, which include continuous analysis of the situation and opportunities in the markets and the almost immediate response to the opportunities and threats, in order to achieve investment revenues while minimizing the risk assumed. Thanks to these characteristics, as well as the large scale of the invested funds, the financial institutions make a significant contribution to the development of the very financial markets, introduction of new financial instruments and increasing the scope of activities of all participants in the financial system. As one of the most important methodological concepts in risk management, modern portfolio theory presents the basis for a rational investment policy and guidance in searching for an efficient investment portfolio of insurance companies. Practical application of theoretical principles enables the achievement of objectives – to analyse actual trends and performances of financial market and insurance market in the Republic of Serbia, to assess the possibility of building an optimal life insurers’ investment portfolio, and to provide a critical review of the current regulatory framework within a research-related time frame. The achieved results represent a solid basis for further research in this area, owing to the real empirical database and analysis of investment portfolio performances, created in accordance with various criteria considering the established timeframe.

The trend of increased frequency of extreme risk occurrence has grown into a global problem in the field of finance, as same as in the insurance industry. For efficient risk management in the financial sector, it is necessary to choose appropriate instruments for the assessment and evaluation of risk. The generaly accepted model for risk valuation in financial institutions, the Value at Risk model, has not fulfilled the expectations of investors and financial institutions during the financial crisis in 2007/2008. The justification of the use of this model in the post-crisis period was strongly criticized, so it was necessary to make modifications and improvements in order to provide valid usage of the model even in terms of extreme risk. One way to improve the model is the estimation of the model parameters based on the extreme value theory, ...

Ekonomska izloženost deviznom riziku je koncept koji ukazuje na stepen u kojem su novčani tokovi preduzeća pod uticajem nepredvidivih promena deviznog kursa. Ona može da bude transakciona, kada izražava osetljivost tekućih novčanih tokova, odnosno, poslovna, kada izražava osetljivost očekivanih novčanih tokova. Budući da mogu značajno odrediti konkurentnost i strategijsku orijentaciju preduzeća, transakcionom i poslovnom izloženošću se upravlja primenom strategija finansijskog i operativnog hedžinga. Finansijski hedžing podrazumeva zauzimanje pozicije u valutnom derivatu, a obično se koristi za upravljanje transakcionom izloženošću. Operativni hedžing se zasniva na razvoju realnih opcija u domenu snabdevanja, proizvodnje i prodaje, a uglavnom se koristi za upravljanje poslovnom ili dugoročnom transakcionom izloženošću. Predmet istraživanja u ovoj doktorskoj disertaciji su alternativni pristupi za upravljanje ekonomskom izloženošću deviznom riziku u nefinansijskim preduzećima. Posebna pažnja je posvećena analizi upotrebljivosti relevantnih teorijskih modela za merenje stepena i oblika ekonomske izloženosti, kao i analizi efekata korišćenja raličitih hedžing strategija na performanse i vrednost preduzeća. Istraživanje na uzorku preduzeća iz Srbije je otkrilo da se prinosi preduzeća izloženih deviznom riziku smanjuju sa depresijacijom dinara, što odgovara profilu preduzeća uvoznika i/ili preduzeća sa visokim učešćem dugova izraženih u stranoj valuti. Budući da učešće prihoda od izvoza u ukupnim prihodima ima negativni uticaj na izloženost preduzeća, može se zaključiti da preduzeća koja deo prihoda ostvaruju od izvoza, mogu smanjiti svoju izloženost zahvaljujući prirodnom hedžingu. Kao instrumente finansijskog hedžinga, preduzeća u Srbiji uglavnom koriste obični i pokriveni forvard, kao i oročeni depozit sa valutnom klauzulom. Zbog njihove visoke implicitne cene, obične valutne forvarde u Srbiji uglavnom koriste preduzeća sa jakom tržišnom pozicijom, koja gubitke na forvardima mogu da prenesu, kroz cenu, na svoje kupce. Manja preduzeća uglavnom ugovaraju pokrivene valutne forvarde, naročito ako imaju stabilan i brz novčani priliv. Geografska diversifikacija i poslovna fleksibilnost, kao strategije operativnog hedžinga, povećavaju ekonomsku izloženost i smanjuju tržišnu vrednost preduzeća u Srbiji. Ovakav nalaz može da bude uslovljen činjenicom da preduzeća uglavnom pokreću inostrane filijale za trgovinu, dok pretežni deo poslovne aktivnosti nastavljaju da obavljaju u Srbiji. Economic exposure to foreign exchange risk is a concept which indicates the degree to which the cash flows of a company are affected by unpredictable changes in exchange rates. It can be transaction if it indicates the sensitivity of current cash flows, or operational if it indicates the sensitivity of expected cash flows. Since they can significantly determine the competitiveness and strategic orientation of the company, transaction and operational exposure are managed by using the financial and operational hedging strategies. Financial hedging involves taking a position in a currency derivative, and is commonly used to manage transaction exposure. Operational hedging is based on the development of real options in conection to supply, production and sales, and is mainly used to manage the operational or long-term transaction exposure. The subject of research in this doctoral thesis are alternative approaches to manage economic exposure to foreign exchange risk in non-financial companies. Special attention is devoted to the analysis of applicability of relevant theoretical models for measuring the degree and form of economic exposure, as well as to analyzing the effects of the use of different hedging strategies on the performance and value of a company. The research on the sample of companies from Serbia shows that the returns of companies exposed to foreign exchange risk decrease with the depreciation of the Serbian dinar, which corresponds to the profile of importers and/or companies with a high share of foreign currency debt. Since the share of export revenues in total revenues has a negative impact on the exposure of the companies, it can be concluded that companies with export revenues can reduce their exposure due to the natural hedge. Conventional and covered currency forwards, as well as deposits with currency clause are prefered financial hedging instruments among the companies in Serbia. Because they produce high implicit costs, conventional currency forwards are mainly used by companies with a strong market position which can use pricing to transfer their losses of using the forwards to their customers. Smaller companies use covered currency forwards, especially if they have a stable and quick cash inflows. Geographical diversification and operational flexibility, as operational hedging strategies, increase the economic exposure and reduce the market value of the companies in Serbia. This finding may be due to the fact that companies mainly establish international business units for trade, while they continue to perform most of their business activities in Serbia.

Building sophisticated, open and competitive market adapted financial system of a national economy is undoubtedly the most important prerequisite for creating efficient capital allocation at all levels. Only under such conditions, the capital would flow towards secure and/or more profitable investment, i.e. where it is more usable and can produce more and retreat from economic segments where it loses or does not receive much. Because of the level of (un)development, developing markets are facing numerous risks. Namely, the integration of countries having developing markets brings new kinds of risk into international developments and increases dependence on changes appearing in the environment. The development of the financial system in Serbia has been caused by the privatization process since 2000. In this period a new regulation has been adopted that has institutionalize the financial system in compliance with European and world financial systems. However, regardless of the institutional basis and rapid development, the financial system of Serbia was still bank-centered. The fact is that in building portfolio structures it is not possible to disregard investors’ aims and preferences that directly or indirectly have an impact on: development degree and data base reliability, knowledge of statistical techniques, computer and telecommunication technology. In other words, in business contacts the relevant information and the rapidity of finding them are of outmost importance for making high quality decisions, i.e. information becomes an input in decision-making process and as such has its price. The practice reveals that in real economic transactions market participants are not only fully informed but the information they have is asymmetrically arranged. Namely, one side that participates in transactions has a better insight in to the facts on a variable that is important for contract-business involving other side. This resulted in the concept of adapted expectations according to which the expectation for the next period is adapted in compliance with divergence (error) of previous expectation from the previous process realization, by means of the adaptability coefficient. The validity of each econometric analysis is conditioned by availability and reliability of data it is based on. In practice the most used data are those involving financial series and financial statements of an enterprise. The characteristics of time series are the following: unstable autocorrelation, “fat tails”, asymmetry, aggregate normality of arrangement of financial instrument yield, existence of alternating of yield volatility in any time horizon, leverage effect, correlation of intensity, trade and volatility volume. On the other side, although financial statements in essence show the state of financial position and success of an enterprise’s business, their usability value for making decisions on investment is limited. In order to avoid the adverse mechanism of spontaneous adaptability in the market with asymmetric information it is necessary to know market signalizing and market screening.