Risk Measurement Using Extreme Value Theory: The Case of BIST100 Index

Date

2017-12-06

Author

Yıldırım, Bükre
Kestel, Sevtap Ayşe
Karabey, Uğur

Metadata

Show full item record

Item Usage Stats

122
views

0
downloads

URI

https://hdl.handle.net/11511/79917

Conference Name

0th International Statistics Congress, 6 - 08 December 2017

Collections

Unverified, Conference / Seminar

Suggestions

OpenMETU
Core

Risk measurement, management and option pricing via a new log-normal sum approximation method Zeytun, Serkan; Uğur, Ömür; Korn, Ralf; Department of Financial Mathematics (2012) In this thesis we mainly focused on the usage of the Conditional Value-at-Risk (CVaR) in risk management and on the pricing of the arithmetic average basket and Asian options in the Black-Scholes framework via a new log-normal sum approximation method. Firstly, we worked on the linearization procedure of the CVaR proposed by Rockafellar and Uryasev. We constructed an optimization problem with the objective of maximizing the expected return under a CVaR constraint. Due to possible intermediate payments we as...
Risk analysis of the government domestic debt stock in Turkey: cost-at-risk approach Gürcihan, H. Burcu; Gaygısız Lajunen, Esma; Department of Economics (2004) In this study, stochastic simulation based risk analysis is applied to the government domestic debt stock in Turkey with the motivation to identify the cost and risk characteristics of alternative debt financing strategies. Future path of interest rates is simulated by using the yield curve forecasting framework in Diebold and Li (2002), which is founded on the Nelson-Siegel yield curve model. Yield curve simulation is based on the estimated term structure of interest rates for the period June 2001-July 200...
Risk Construction at a Public Hearing: An Application of Socio-cultural Theories into Organizational Risk Topal, Çağrı (2011-07-09)
Risk Attitudes against Losses: An Application to an Emerging Market Özdemir, Özlem (2011-06-16)
Risk Identification in Public Private Partnership Projects Saeed, Kamali; Birgönül, Mustafa Talat; Dikmen Toker, İrem (2018-11-18) Nowadays, investment in building technical infrastructure in Da Nang city has increased rapidly in terms of scale and scope with the broad participation of the whole society. The unstable effects of the surrounding environment and the internal adjustment of the project lead to many fundamental changes that were initially planned and changed the effectiveness of the project. This is the existence of the risk of Public Private Partnerships (PPP) project in investerment of technical infrastructure in Da Nang. ...

Citation Formats

B. Yıldırım, S. A. Kestel, and U. Karabey, “Risk Measurement Using Extreme Value Theory: The Case of BIST100 Index,” presented at the 0th International Statistics Congress, 6 - 08 December 2017, 2017, Accessed: 00, 2021. [Online]. Available: https://hdl.handle.net/11511/79917.