BibTex RIS Kaynak Göster
Yıl 2013, Cilt: 2 Sayı: 3, 75 - 86, 01.09.2013

Öz

Kaynakça

  • 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.

Mixture Distribution Approach In Financial Risk Analysis

Yıl 2013, Cilt: 2 Sayı: 3, 75 - 86, 01.09.2013

Öz

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.

Kaynakça

  • 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.
Toplam 6 adet kaynakça vardır.

Ayrıntılar

Bölüm Articles
Yazarlar

Keziban Kocak Bu kişi benim

Nazif Calis Bu kişi benim

Deniz Unal Bu kişi benim

Yayımlanma Tarihi 1 Eylül 2013
Yayımlandığı Sayı Yıl 2013 Cilt: 2 Sayı: 3

Kaynak Göster

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.

Journal of Business, Economics and Finance (JBEF) is a scientific, academic, double blind peer-reviewed, quarterly and open-access journal. The publication language is English. The journal publishes four issues a year. The issuing months are March, June, September and December. The journal aims to provide a research source for all practitioners, policy makers and researchers working in the areas of business, economics and finance. The Editor of JBEF invites all manuscripts that that cover theoretical and/or applied researches on topics related to the interest areas of the Journal. JBEF charges no submission or publication fee.



Ethics Policy - JBEF applies the standards of Committee on Publication Ethics (COPE). JBEF is committed to the academic community ensuring ethics and quality of manuscripts in publications. Plagiarism is strictly forbidden and the manuscripts found to be plagiarized will not be accepted or if published will be removed from the publication. Authors must certify that their manuscripts are their original work. Plagiarism, duplicate, data fabrication and redundant publications are forbidden. The manuscripts are subject to plagiarism check by iThenticate or similar. All manuscript submissions must provide a similarity report (up to 15% excluding quotes, bibliography, abstract, method).


Open Access - All research articles published in PressAcademia Journals are fully open access; immediately freely available to read, download and share. Articles are published under the terms of a Creative Commons license which permits use, distribution and reproduction in any medium, provided the original work is properly cited. Open access is a property of individual works, not necessarily journals or publishers. Community standards, rather than copyright law, will continue to provide the mechanism for enforcement of proper attribution and responsible use of the published work, as they do now.