FİNANSAL RİSKLERİN UÇ DEĞER KURAMI İLE ÖLÇÜLMESİ

Ayse Arık; Basak Bulut; Meral Sucu

MEASURING FINANCIAL RISKS WITH EXTREME VALUE THEORY

Yıl 2013, Cilt: 14 Sayı: 2, 119 - 134, 22.11.2013

Öz

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. Risks of an investor that has a position on IMKB-100 return index have been analyzed by measuring risk values for different percentages and performances of the methods have been compared

Anahtar Kelimeler

Extreme Value Theory, Value at Risk, Expected Short-Fall, Return Level

Kaynakça

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