FİNANSAL RİSKLERİN UÇ DEĞER KURAMI İLE ÖLÇÜLMESİ

FİNANSAL RİSKLERİN UÇ DEĞER KURAMI İLE ÖLÇÜLMESİ

The extreme values in financial markets have been investigated in this study by using two different methods of extreme value theory: block maxima method and peaks over threshold method. Value at Risk, expected shortfall and return level are the risk tools that are taken benefit for risk analysis. Ri...

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Bibliographic Details
Main Authors: Ayse ARIK, Basak BULUT, Meral SUCU
Format: Article
Language:English
Published: Anadolu University 2012-07-01
Series:Anadolu University Journal of Science and Technology. A : Applied Sciences and Engineering
Subjects:
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Extreme Value Theory
Value at Risk
Expected Short-Fall
Return Level
Uç değer kuramı
Riske maruz değer
Beklenen açık
Getiri seviyesi
Online Access:http://dergipark.gov.tr/aubtda/issue/3038/42154?publisher=anadolu

Internet

http://dergipark.gov.tr/aubtda/issue/3038/42154?publisher=anadolu

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