Abstract
References
- Aven, T., 2008. Risk Analysis: AssessingUncertainties Beyond ExpectedValuesandProbabilities, John Wiley & Sons.
- Alexander, C., 2008. Market Risk Analysis, Value-at-Risk Models, Volume IV, John Wiley & Sons, Chichester.
- Calış, N., 2005. The methods for estimating the number of components in mixture distribution models.ÇukurovaÜniversitesi, Fen BilimleriEnstitüsü, YüksekLisansTezi - Adana.
- 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.
- 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.
- Morgan, JP., 1994. “RiskMetrics”.Second Edition, JP Morgan. www.forexprostr.com.
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.
References
- Aven, T., 2008. Risk Analysis: AssessingUncertainties Beyond ExpectedValuesandProbabilities, John Wiley & Sons.
- Alexander, C., 2008. Market Risk Analysis, Value-at-Risk Models, Volume IV, John Wiley & Sons, Chichester.
- Calış, N., 2005. The methods for estimating the number of components in mixture distribution models.ÇukurovaÜniversitesi, Fen BilimleriEnstitüsü, YüksekLisansTezi - Adana.
- 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.
- 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.
- Morgan, JP., 1994. “RiskMetrics”.Second Edition, JP Morgan. www.forexprostr.com.
Details
| Journal Section | Articles |
|---|---|
| Authors | |
| Publication Date | September 1, 2013 |
| Published in Issue | Year 2013 Volume: 2 Issue: 3 |
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