Bükre Yıldırım Külekci

E-mail

bukre@metu.edu.tr

Department

Graduate School of Applied Mathematics

ORCID

0000-0002-1246-9549

Scopus Author ID

57196040564

Web of Science Researcher ID

ABB-3144-2020

Vine Copula Approach to Understand the Financial Dependence of the Istanbul Stock Exchange Index Evkaya, Ömer Ozan; Gür, Ismail; Yıldırım Külekci, Bükre; Poyraz, Gülden (2024-02-01) Recently, the complex dependence patterns among various stocks gained more importance. Measuring the dependency structure is critical for investors to manage their portfolio risks. Since the global financial crisis, resear...
BIST100 Bankacılık Sektöründeki Bağımlılığın Asma Kopula ile İncelenmesi Yıldırım Külekci, Bükre; Poyraz, Gülden; Gür, Ismail; Evkaya, Ozan (2023-06-01) The frequently observed time-varying trends and dependence in recent years within financial markets have been essential for modeling and pricing. This study aims to analyze the dependence structure of banking sector sto...
Assessment of dependent risk using extreme value theory in a time-varying framework Yıldırım Külekci, Bükre; Karabey, Uğur; Kestel, Sevtap Ayşe (2023-02-01) Several extreme events in history have shown that the low probability and high impact extreme values may result in catastrophic losses. In this paper, we propose the use of extreme value theory with a time-varying framewor...
Modeling the Dependency in the Turkish Stock Market via the Dynamic Vine-Garch Model Evkaya, Ozan; Poyraz, Gülden; Yıldırım Külekci, Bükre; Gür, İsmail (2022-07-15) The dependence on financial instruments has always been an interesting topic considering their economic and political effects. To measure the change in such instruments over time and interaction between them, the stock pr...
Optimal Dynamic Ruin Probabilities for Heavy-Tailed Losses Under Reinsurance Strategies Yıldırım Külekci, Bükre; Korn, Ralf; Kestel, Sevtap Ayşe (2022-07-12) In recent years, extreme events are appearing to increase both in frequency and severity in many different areas. Insurance mechanism provides safe protection for extreme losses in the frame of risk management solutions. ...
Modelling dependence among Turkish financial institutions using dynamic Vine copula Gür, İsmail; Evkaya, Ozan; Yıldırım Külekci, Bükre; Poyraz, Gülden (2022-05-15) The utilization of multivariate copulas to model the dependence is mainly limited to elliptical and Archimedean copulas. By nature, both classes are quite restrictive concerning the symmetry and tail dependencies. Moreov...
Ruin Probability in Heavy-Tailed Claims with Extreme Value Theory Yıldırım Külekci, Bükre; Karabey, Uğur; Kestel, Sevtap Ayşe (2021-09-05)
Assessment of longevity risk: credibility approach Kestel, Ayşe Sevtap; Yıldırım Külekci, Bükre (2021-05-01) To correctly measure the effect of mortality rates on the stability of insurance and pension provider's financial risk, longevity risk should be considered. This paper aims to investigate the future mortality and longevity...
Effect of Turkish mortality developments on the expected lifetime and annuity using entropy measure Yıldırım Külekci, Bükre (2020-06-01) Over the past three centuries, there has been a steady and gradual decline in mortality rates due to a considerable process of eliminating hazards to survival, which have increased the life expectancy at birth remarkably. ...
Assessment of Longevity Risk on PensionFunds: Credibility Approach Yıldırım Külekci, Bükre (null; 2019-10-28) Over the last 100 years, there has been a steady decline in mortality rates. With the unexpected decrease in death rates; variability in the age of death declined and deaths are concentrated to the older years of life, the...

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