| Autor: |
Hatem Çoban, İpek Deveci Kocakoç, Şemsettin Erken, Mehmet Akif Aksoy |
| Jazyk: |
English<br />Turkish |
| Rok vydání: |
2019 |
| Předmět: |
|
| Zdroj: |
Alphanumeric Journal, Vol 7, Iss 2, Pp 173-184 (2019) |
| Druh dokumentu: |
article |
| ISSN: |
2148-2225 |
| DOI: |
10.17093/alphanumeric.605584 |
| Popis: |
In today's world, risk measurement and risk management are of great importance for various economic reasons. Especially in the crisis periods, the tail risk becomes very important in risk estimation. Many methods have been developed for accurate measurement of risk. The easiest of these methods is the Value at Risk (VaR) method. However, standard VaR methods are not very effective in tail risks. This study aims to demonstrate the usage of delta normal method, historical simulation method, Monte Carlo simulation, and importance sampling to calculate the value at risk and to show which method is more effective by applying them to the SP index between 1993 and 2003. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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