GENELLEŞTİRİLMİŞ HİPERBOLİK DAĞILIMLAR İLE RİSKE MARUZ DEĞER: BIST100 ENDEKSİ ÜZERİNE BİR UYGULAMA

Öz RiskeMaruz Değer(RMD) uygulamalarında getiri dağılımı üzerine yapılan varsayımlarönemli bir rol oynamaktadır. Yıllar içinde yapılan çalışmalar göstermiştir kibirçok finansal ürüne ait günlük getiri dağılımları, kalın ya da yarı-kalınkuyruk yapısı sergilemektedir. Bu çalışmada, 2010-2016 dönemi için BIST100endeksine ait günlük getiriler yarı-kalın kuyruk yapısı sergileyenGenelleştirilmiş Hiperbolik Dağılımlar(GHD) ile modellenecektir. Bu amaçla, GHDve aileye ait Normal Ters Gauss Dağılımı ile Genelleştirilmiş HiperbolikÇarpık-t dağılımı için günlük getiriler kullanılarak parametre tahminleriyapılacak ve dağılımların uygunluğu test edilecektir. Son olarak, elde edilenparametre tahminleri kullanılarak RMD yöntemi ve GHD ailesinin performanslarıgeriye dönük testlerle karşılaştırılacaktır. 

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