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Riske Maruz Değer Hesaplamasında Alternatif Yaklaşımlar

Year 2009, Volume: 3 Issue: 2, 63 - 86, 01.12.2009

Mert Ural

Keywords

Value-at-Risk APGARCH Expected Shortfall Cornish-Fisher Expansion Backtesting

References

  • Bollersev, T.. (1986). Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics. 32: 307-327.
  • Bollersev, T., Engle, R.F. ve Nelson, D.B.. (1994). ARCH Models. (Ed.: Robert F. Engle ve Daniel L. McFadden). Handbook of Econometrics. Amsterdam: North Holland Pres. 2959-3038.
  • Bozkufl, S.. (2005). Risk Ölçümünde Alternatif Yaklaflımlar: Riske Maruz Değer (VaR) ve Beklenen Kayıp (ES) Uygulamaları. Dokuz Eylül Üniversitesi, İktisadi ve İdari Bilimler Fakültesi Dergisi. 20(2): 27-45.
  • Campbell, R., Huisman, R. ve Koedijk, K.. (2001). Optimal Portfolio Selection in a Value at Risk Framework. Journal of Banking and Finance. 25: 1789–1804.
  • Christoffersen, P.F.. (1998). Evaluating Interval Forecasts, International Econo- mic Review, 39: 841-862.
  • Cornish, E.A. ve Fisher, R.A.. (1937). Moments and Cumulants in the Specifica- tion of Distributions. Revue de l'Institut International de Statistique. 5(4): 307- 320.
  • Çifter, A.. (2004). Risk Yönetimi’nde (Skewed) Student-t ve GED Dağılımları ile Asimetrik ve (Kısmi) Entegre GARCH Modelleri: Eurobond Üzerine Bir Uygula- ma. VIII. Ulusal Finans Sempozyumu. İstanbul Teknik Üniversitesi.
  • Çifter, A., Özün, A. ve Yılmazer, S.. (2007). Geriye Dönük Testlerin Karflılafltır- malı Analizi: Döviz Kuru Üzerine Bir Uygulama. Bankacılar Dergisi. Türkiye Ban- kalar Birliği. 62: 25-43.
  • Dimandis, P.F., Kouretas, G.P. ve Zarangas, L.. (2006). Value-at-Risk for Long and Short Trading Positions: The Case of the Athens Stock Exchange. Working Paper. University of Crete, Department of Economics, No:601.
  • Ding, Z., Granger, C.W.J. ve Engle, R.F.. (1993). A Long Memory Property of Stock Market Returns and A New Model. Journal of Empirical Finance. 1: 83- 106.
  • Dowd, K.. (2000). Beyond Value at Risk: The New Science of Risk Management. John Wiley&Sons.
  • Dowd, K.. (2002). Measuring Market Risk. John Wiley&Sons.
  • Engle, R.F.. (1982). Autoregressive Conditional Heteroscedasticity With Estimates of The Variance of United Kingdom Inflation. Econometrica. 55(2): 987-1007.
  • Favre, L. ve Galeano, J.A.. (2002). Mean-Modified Value-at-Risk Optimization with Hedge Funds. Journal of Alternative Investment Fall. 5(2): 2–21.
  • Fernandez, C. ve Steel, M.F.J.. (1998). On Bayesian Modelling of Fat Tails and Skewness, Journal of the American Statistical Association. 93: 359-371.
  • Füss, R., Kaiser, D.G. ve Adams, Z.. (2007). Value at Risk, GARCH Modelling and the Forecasting of Hedge Fund Return Volatility. Journal of Derivatives and Hedge Funds. 13(1): 2-25.
  • Giot, P. ve Laurent, S.. (2003). Value-at-Risk For Long and Short Trading Positions. Journal of Applied Econometrics. 18: 641–664.
  • Giot, P. ve Laurent, S.. (2004). Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models. Journal of Empirical Finance. 11(3): 379-398.
  • Glosten, L.R., Jagannatthan, R. ve Runkle, D.E.. (1993). On the Relationship Between The Expected Value and The Volatility of The Nominal Excess Return on Stocks. Journal of Finance. 48: 1779-1801.
  • Härdle, W.K. ve Mungo, J.. (2008). Value-at-Risk and expected shortfall when there is long range dependence. SFB 649‘Economic Risk’ Discussion Paper. 6: 1-39.
  • Harris, R. ve Sollis, R.. (2003). Applied Time Series Modeling and Forecasting. John Wiley and Sons.
  • Hendrics, D.. (1996). Evaluation of Value at Risk Models Using Historical Data. Economic Policy Review. Federal Reserve Bank of New York. 2(1): 39-69.
  • Jackson, P., Maude, D.J. ve Perraudin, W.. (1998). Bank Capital and Value at Risk. Bank of England, Working Paper Series. 79: 1-37.
  • Jondeau, E., Poon, S.H. ve Rockinger, M.. (2007). Financial Modeling Under Non-Gaussian Distributions. USA: Springer Finance.
  • Jorion, P.. (2000). Value at Risk: The New Benchmark for Managing Financial Risk. 2nd Edition. New York: McGraw Hill Inc.
  • Khanniche, S.. (2008). Evaluation of Hedge Fund Returns Value at Risk Using GARCH Models. 5th International Conference on Applied Financial Economics, Samos Island, Greece.
  • Kupiec, P.H.. (1995). Techniques for Verifying the Accuracy of Risk Measure- ment Models, Journal of Derivatives, 3: 73-84.
  • Lambert, P. ve Laurent, S.. (2001). Modelling Financial Time Series Using GARCH-Type Models with a Skewed Student Distribution For The Innovations. Universite Catholique de Louvain, Institut de Statistique. Discussion Paper. 125.
  • Laurent, S.. (2009). G@RCH 6.0 Help, http://www.garch.org, (30.08.2009).
  • Nelson, D.B.. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach, Econometrica. 59: 347-370.
  • Pan, H. ve Zhang, Z.. (2006). Forecasting Financial Volatility: Evidence From Chinese Stock Market. Working Paper in Economics and Finance. University of Durham. 06/02: 1-29.
  • Pattarathammas, S., Mokkhavesa, S. ve Nilla-Or, P.. (2008). Value-at-Risk and Expected Shortfall under Extreme Value Theory Framework: An Empirical Study on Asian Markets. 2nd European Risk Conference, Milano.
  • Peterson, B.G. ve Boudt, K.. (2008). Component VaR for a Non-Normal World. Risk Magazine. November, 78-81.
  • Sakalauskas, V. ve Kriksciuniene, D.. (2006). Evaluation of Value-at-Risk for Short Term Investment by Using Cornish-Fisher Expansion. The Sixth Internatio- nal Conference on Intelligent Systems Desing and Applications. Jinan, China, (16-18 October 2006).
  • Tang, T. ve Shieh, S. J.. (2006). Long-Memory in Stock Index Futures Markets: A Value-at-Risk Approach, Physica A, 366: 437-448.
  • Teker, S., Karakurum, E. ve Tay, O.. (2008). Yatırım Fonlarının Risk Odaklı Performans Değerlemesi. Doğufl Üniversitesi Dergisi. 9(1): 89-105.
  • Yamai, Y. ve Yoshiba, T.. (2002). Comparative Analyses of Expected Shortfall and Value-at-Risk (2): Expected Utility Maximization and Tail Risk. Monetary and Economic Studies. Bank of Japan. 20(2): 95–115.
  • Yamai, Y. ve Yoshiba, T.. (2005). Value-at-Risk Versus Expected Shortfall: A Practical Perspective.Journal of Banking and Finance. 29: 997–1015.
  • Zangari, P.. (1996). A VaR Methodology for Portfolios that Include Options. RiskMetrics Monitor. First Quarter, 4-12.

Alternative Approaches for Estimating Value at Risk

Year 2009, Volume: 3 Issue: 2, 63 - 86, 01.12.2009

Mert Ural

Keywords

Value-at-Risk APGARCH Expected Shortfall Cornish-Fisher Expansion Backtesting

References

  • Bollersev, T.. (1986). Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics. 32: 307-327.
  • Bollersev, T., Engle, R.F. ve Nelson, D.B.. (1994). ARCH Models. (Ed.: Robert F. Engle ve Daniel L. McFadden). Handbook of Econometrics. Amsterdam: North Holland Pres. 2959-3038.
  • Bozkufl, S.. (2005). Risk Ölçümünde Alternatif Yaklaflımlar: Riske Maruz Değer (VaR) ve Beklenen Kayıp (ES) Uygulamaları. Dokuz Eylül Üniversitesi, İktisadi ve İdari Bilimler Fakültesi Dergisi. 20(2): 27-45.
  • Campbell, R., Huisman, R. ve Koedijk, K.. (2001). Optimal Portfolio Selection in a Value at Risk Framework. Journal of Banking and Finance. 25: 1789–1804.
  • Christoffersen, P.F.. (1998). Evaluating Interval Forecasts, International Econo- mic Review, 39: 841-862.
  • Cornish, E.A. ve Fisher, R.A.. (1937). Moments and Cumulants in the Specifica- tion of Distributions. Revue de l'Institut International de Statistique. 5(4): 307- 320.
  • Çifter, A.. (2004). Risk Yönetimi’nde (Skewed) Student-t ve GED Dağılımları ile Asimetrik ve (Kısmi) Entegre GARCH Modelleri: Eurobond Üzerine Bir Uygula- ma. VIII. Ulusal Finans Sempozyumu. İstanbul Teknik Üniversitesi.
  • Çifter, A., Özün, A. ve Yılmazer, S.. (2007). Geriye Dönük Testlerin Karflılafltır- malı Analizi: Döviz Kuru Üzerine Bir Uygulama. Bankacılar Dergisi. Türkiye Ban- kalar Birliği. 62: 25-43.
  • Dimandis, P.F., Kouretas, G.P. ve Zarangas, L.. (2006). Value-at-Risk for Long and Short Trading Positions: The Case of the Athens Stock Exchange. Working Paper. University of Crete, Department of Economics, No:601.
  • Ding, Z., Granger, C.W.J. ve Engle, R.F.. (1993). A Long Memory Property of Stock Market Returns and A New Model. Journal of Empirical Finance. 1: 83- 106.
  • Dowd, K.. (2000). Beyond Value at Risk: The New Science of Risk Management. John Wiley&Sons.
  • Dowd, K.. (2002). Measuring Market Risk. John Wiley&Sons.
  • Engle, R.F.. (1982). Autoregressive Conditional Heteroscedasticity With Estimates of The Variance of United Kingdom Inflation. Econometrica. 55(2): 987-1007.
  • Favre, L. ve Galeano, J.A.. (2002). Mean-Modified Value-at-Risk Optimization with Hedge Funds. Journal of Alternative Investment Fall. 5(2): 2–21.
  • Fernandez, C. ve Steel, M.F.J.. (1998). On Bayesian Modelling of Fat Tails and Skewness, Journal of the American Statistical Association. 93: 359-371.
  • Füss, R., Kaiser, D.G. ve Adams, Z.. (2007). Value at Risk, GARCH Modelling and the Forecasting of Hedge Fund Return Volatility. Journal of Derivatives and Hedge Funds. 13(1): 2-25.
  • Giot, P. ve Laurent, S.. (2003). Value-at-Risk For Long and Short Trading Positions. Journal of Applied Econometrics. 18: 641–664.
  • Giot, P. ve Laurent, S.. (2004). Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models. Journal of Empirical Finance. 11(3): 379-398.
  • Glosten, L.R., Jagannatthan, R. ve Runkle, D.E.. (1993). On the Relationship Between The Expected Value and The Volatility of The Nominal Excess Return on Stocks. Journal of Finance. 48: 1779-1801.
  • Härdle, W.K. ve Mungo, J.. (2008). Value-at-Risk and expected shortfall when there is long range dependence. SFB 649‘Economic Risk’ Discussion Paper. 6: 1-39.
  • Harris, R. ve Sollis, R.. (2003). Applied Time Series Modeling and Forecasting. John Wiley and Sons.
  • Hendrics, D.. (1996). Evaluation of Value at Risk Models Using Historical Data. Economic Policy Review. Federal Reserve Bank of New York. 2(1): 39-69.
  • Jackson, P., Maude, D.J. ve Perraudin, W.. (1998). Bank Capital and Value at Risk. Bank of England, Working Paper Series. 79: 1-37.
  • Jondeau, E., Poon, S.H. ve Rockinger, M.. (2007). Financial Modeling Under Non-Gaussian Distributions. USA: Springer Finance.
  • Jorion, P.. (2000). Value at Risk: The New Benchmark for Managing Financial Risk. 2nd Edition. New York: McGraw Hill Inc.
  • Khanniche, S.. (2008). Evaluation of Hedge Fund Returns Value at Risk Using GARCH Models. 5th International Conference on Applied Financial Economics, Samos Island, Greece.
  • Kupiec, P.H.. (1995). Techniques for Verifying the Accuracy of Risk Measure- ment Models, Journal of Derivatives, 3: 73-84.
  • Lambert, P. ve Laurent, S.. (2001). Modelling Financial Time Series Using GARCH-Type Models with a Skewed Student Distribution For The Innovations. Universite Catholique de Louvain, Institut de Statistique. Discussion Paper. 125.
  • Laurent, S.. (2009). G@RCH 6.0 Help, http://www.garch.org, (30.08.2009).
  • Nelson, D.B.. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach, Econometrica. 59: 347-370.
  • Pan, H. ve Zhang, Z.. (2006). Forecasting Financial Volatility: Evidence From Chinese Stock Market. Working Paper in Economics and Finance. University of Durham. 06/02: 1-29.
  • Pattarathammas, S., Mokkhavesa, S. ve Nilla-Or, P.. (2008). Value-at-Risk and Expected Shortfall under Extreme Value Theory Framework: An Empirical Study on Asian Markets. 2nd European Risk Conference, Milano.
  • Peterson, B.G. ve Boudt, K.. (2008). Component VaR for a Non-Normal World. Risk Magazine. November, 78-81.
  • Sakalauskas, V. ve Kriksciuniene, D.. (2006). Evaluation of Value-at-Risk for Short Term Investment by Using Cornish-Fisher Expansion. The Sixth Internatio- nal Conference on Intelligent Systems Desing and Applications. Jinan, China, (16-18 October 2006).
  • Tang, T. ve Shieh, S. J.. (2006). Long-Memory in Stock Index Futures Markets: A Value-at-Risk Approach, Physica A, 366: 437-448.
  • Teker, S., Karakurum, E. ve Tay, O.. (2008). Yatırım Fonlarının Risk Odaklı Performans Değerlemesi. Doğufl Üniversitesi Dergisi. 9(1): 89-105.
  • Yamai, Y. ve Yoshiba, T.. (2002). Comparative Analyses of Expected Shortfall and Value-at-Risk (2): Expected Utility Maximization and Tail Risk. Monetary and Economic Studies. Bank of Japan. 20(2): 95–115.
  • Yamai, Y. ve Yoshiba, T.. (2005). Value-at-Risk Versus Expected Shortfall: A Practical Perspective.Journal of Banking and Finance. 29: 997–1015.
  • Zangari, P.. (1996). A VaR Methodology for Portfolios that Include Options. RiskMetrics Monitor. First Quarter, 4-12.
There are 39 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Mert Ural This is me

Publication Date December 1, 2009
Published in Issue Year 2009 Volume: 3 Issue: 2

Cite

APA Ural, M. (2009). Riske Maruz Değer Hesaplamasında Alternatif Yaklaşımlar. BDDK Bankacılık Ve Finansal Piyasalar Dergisi, 3(2), 63-86.