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
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.
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
