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FİNANSAL RİSKLERİN UÇ DEĞER KURAMI İLE ÖLÇÜLMESİ
2013
Journal:  
Eskişehir Technical University Journal of Science and Technology A - Applied Sciences and Engineering
Author:  
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    

Keywords:

Measurement of financial risks by value curriculum
2013
Journal:  
Eskişehir Technical University Journal of Science and Technology A - Applied Sciences and Engineering
Author:  
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 performance of the methods have been compared

Keywords:

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Eskişehir Technical University Journal of Science and Technology A - Applied Sciences and Engineering

Field :   Fen Bilimleri ve Matematik; Mühendislik; Sağlık Bilimleri

Journal Type :   Uluslararası

Metrics
Article : 648
Cite : 332
2023 Impact : 0.038
Details
Eskişehir Technical University Journal of Science and Technology A - Applied Sciences and Engineering