Riske maruz değer hesaplamasında alternatif yaklaşımlar

Bu çalışmada, İMKB100 (Türkiye), FTSE100 (İngiltere), NIKKEI225 (Japonya) ve CAC40 (Fransa) borsa endekslerine ait günlük getiri serileri kullanılarak farklı hata dağılımları için alternatifriske maruz değer (VaR) ve beklenen kayıp (ES) analizleri yapılmıştır. Alternatif VaR modellerinin başarısını belirlemek üzere gerçekleştirilen geriye dönük test sonuçlarına göre, çoğunlukla şişman kuyruk ve asimetrik yapıya sahip finansal varlık getirileri için Cornish-Fisher yaklaşımına dayalı hesaplamaların daha tutarlı sonuçlar verdiği anlaşılmıştır.
Anahtar Kelimeler:

risk

Alternative aproaches for estimating value at risk

In this paper the alternative value-at-risk (VaR) and expected shortfall (ES) analysis were made according to different error distribution assumptions by using stock market daily return series of Turkey (ISE100), United Kingdom (FTSE100), Japan (NIKKEI225) and France(CAC40). The backtesting procedures examining the performance of the alternative VaR models appointed that the estimations under Cornish-Fisher expansion are more consistent for the financial asset returns frequently possessing fat tails and asymmetric distribution.
Keywords:

risk,

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