Tanjug are reporting that JAT Airways have confirmed that the Captain was, indeed, one of their pilots.
There are
several links online to the story, but none that I can see in English yet.
The long and short of it, is that JAT release their pilots to take up work with various companies whilst the company still continue to pay their pension and benefits. There seems to be an agreement in place between JAT and Air India regarding the pilots, training at Vrsac, and access to US/Canadian routes via Belgrade. Nothing new - and I remember the guys who left to join Ryanair during the UN sanctions in the 90s - but this seems to be a more formal agreement.