Mixture Distribution Approach In Financial Risk Analysis

Volume: 2 Number: 3 September 1, 2013
  • Keziban Kocak
  • Nazif Calis
  • Deniz Unal
Journal of Business Economics and Finance Cover
Journal of Business Economics and Finance
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Mixture Distribution Approach In Financial Risk Analysis

Abstract

In recent years, major changes occurred in the prices of stock exchange appeared the necessity of measuring the financial risk. Nowadays, Value-atRisk (VaR) is often used to calculate the financial risk. Parametric methods which need normality are mostly used in the calculation of VaR.If the financial data does not fit the normal distribution, mixture of normal distribution models can be fitted to this data. In this study, the financial risk is calculated by using normal mixture distribution models as a new approach to parametric method.

Keywords

References

  1. Aven, T., 2008. Risk Analysis: AssessingUncertainties Beyond ExpectedValuesandProbabilities, John Wiley & Sons.
  2. Alexander, C., 2008. Market Risk Analysis, Value-at-Risk Models, Volume IV, John Wiley & Sons, Chichester.
  3. Calış, N., 2005. The methods for estimating the number of components in mixture distribution models.ÇukurovaÜniversitesi, Fen BilimleriEnstitüsü, YüksekLisansTezi - Adana.
  4. Dardac, N., Grigore, A., 2011. Modeling the Market Risk in the Context of the Basel III Acord. Theoretical and Applied Economics Volume XVIII(2011), No. 11(564), pp.5-20.
  5. Dempster, A.P., Laird, N.M., and Rubin, D.M., 1977. Maximum likelihood form incomplete data via the EM algorithm, with discussion. Journal of the Royal Statistical Society B 39, 1-38.
  6. Morgan, JP., 1994. “RiskMetrics”.Second Edition, JP Morgan. www.forexprostr.com.

Details

Primary Language

English

Subjects

-

Journal Section

-

Authors

Keziban Kocak This is me

Nazif Calis This is me

Deniz Unal This is me

Publication Date

September 1, 2013

Submission Date

November 4, 2014

Acceptance Date

-

Published in Issue

Year 2013 Volume: 2 Number: 3

IZ

https://izlik.org/JA23YL43WF

Cite

RIS / Bibtex
APA
Kocak, K., Calis, N., & Unal, D. (2013). Mixture Distribution Approach In Financial Risk Analysis. Journal of Business Economics and Finance, 2(3), 75-86. https://izlik.org/JA23YL43WF
AMA
1.Kocak K, Calis N, Unal D. Mixture Distribution Approach In Financial Risk Analysis. JBEF. 2013;2(3):75-86. https://izlik.org/JA23YL43WF
Chicago
Kocak, Keziban, Nazif Calis, and Deniz Unal. 2013. “Mixture Distribution Approach In Financial Risk Analysis”. Journal of Business Economics and Finance 2 (3): 75-86. https://izlik.org/JA23YL43WF.
EndNote
Kocak K, Calis N, Unal D (September 1, 2013) Mixture Distribution Approach In Financial Risk Analysis. Journal of Business Economics and Finance 2 3 75–86.
IEEE
[1]K. Kocak, N. Calis, and D. Unal, “Mixture Distribution Approach In Financial Risk Analysis”, JBEF, vol. 2, no. 3, pp. 75–86, Sept. 2013, [Online]. Available: https://izlik.org/JA23YL43WF
ISNAD
Kocak, Keziban - Calis, Nazif - Unal, Deniz. “Mixture Distribution Approach In Financial Risk Analysis”. Journal of Business Economics and Finance 2/3 (September 1, 2013): 75-86. https://izlik.org/JA23YL43WF.
JAMA
1.Kocak K, Calis N, Unal D. Mixture Distribution Approach In Financial Risk Analysis. JBEF. 2013;2:75–86.
MLA
Kocak, Keziban, et al. “Mixture Distribution Approach In Financial Risk Analysis”. Journal of Business Economics and Finance, vol. 2, no. 3, Sept. 2013, pp. 75-86, https://izlik.org/JA23YL43WF.
Vancouver
1.Keziban Kocak, Nazif Calis, Deniz Unal. Mixture Distribution Approach In Financial Risk Analysis. JBEF [Internet]. 2013 Sep. 1;2(3):75-86. Available from: https://izlik.org/JA23YL43WF

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