TY  - JOUR
TT  - JUMP DIFFUSION PROCESSES AND MARKET RISK: IMPLEMENTATION ON IMKB 100 INDEX
AU  - Yıldırak, Kasırga
PY  - 2010
DA  - June
JF  - Trakya Üniversitesi Sosyal Bilimler Dergisi
JO  - Trakya Üniversitesi Sosyal Bilimler Dergisi
PB  - Trakya Üniversitesi
WT  - DergiPark
SN  - 1305-7766
SP  - 36
EP  - 44
VL  - 12
IS  - 2
KW  - Piyasa Riski
KW  - Monte Carlo Simülasyonu
KW  - Sıçramalı Stokastik Süreçler
N2  - A jump diffusion model is considered for risk computations of IMKB 100 index. A portofolio with only one index product is considered. A coherent risk measure Expected Shortfall is chosen to be the measure of the risk. Expected Shortfall is computed by Monte Carlo method. Smooth part of the stochastic process is modeled by geometric Brownian motion while the jump part follows compound Poisson process. Magnitude of the jumps are assumed to come from normal and gamma distrubiton for two different models. Results are compared with other expected shortfall computation methods
UR  - https://dergipark.org.tr/tr/pub/trakyasobed/article/326310
L1  - https://dergipark.org.tr/tr/download/article-file/321565
ER  -