Author/Authors
ARIK, Ayse Hacettepe Universitesi - Fen Fakultesi - Aktuerya Bilimleri Bolumu, Turkey , BULUT, Basak Hacettepe Universitesi - Fen Fakultesi - Aktuerya Bilimleri Bolumu, Turkey , SUCU, Meral Hacettepe Universitesi - Fen Fakultesi - Aktuerya Bilimleri Bolumu, Turkey
Title Of Article
MEASURING FINANCIAL RISKS WITH EXTREME VALUE THEORY
شماره ركورد
34102
Abstract
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.
From Page
119
NaturalLanguageKeyword
Extreme value theory , Value at risk , Expected short , fall , Return level
JournalTitle
Anadolu University Journal of Science and Technology. A : Applied Sciences and Engineering
To Page
134
JournalTitle
Anadolu University Journal of Science and Technology. A : Applied Sciences and Engineering
Link To Document