Riske Maruz Değer Hesaplamasında Alternatif Yaklaşımlar

Yıl 2009, Cilt: 3 Sayı: 2, 63 - 86, 01.12.2009

Mert Ural

Anahtar Kelimeler

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

Alternative Approaches for Estimating Value at Risk

Anahtar Kelimeler

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

Kaynakça

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