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Dergiler / Alphanumeric Journal / 2019 / Volume: 7 Issue: 2

Reducing Variation of Risk Estimation by Using Importance Sampling

Hatem Çoban(DOKUZ EYLÜL ÜNİVERSİTESİ)0000-0001-6613-6371
İpek Deveci Kocakoç(DOKUZ EYLÜL ÜNİVERSİTESİ)0000-0001-9155-8269
Şemsettin Erken(DOKUZ EYLÜL ÜNİVERSİTESİ)0000-0002-8936-5633
Mehmet Akif Aksoy(DOKUZ EYLÜL ÜNİVERSİTESİ)0000-0002-5795-2999
Sayfa
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Yayın Tarihi
2019-12-31
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

This study aims to demonstrate the usage of delta normal method, historical simulation method, Monte Carlo simulation, and importance sampling to calculate the value at risk and to show which method is more effective by applying them to the S&P index between 1993 and 2003.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:In today's world, risk measurement and risk management are of great importance for various economic reasons.
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Temel Bulgular & Veri:Many methods have been developed for accurate measurement of risk.
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Sonuç & Katkı:This study aims to demonstrate the usage of delta normal method, historical simulation method, Monte Carlo simulation, and importance sampling to calculate the value at risk and to show which method is more effective by applying them to the S&P index between 1993 and 2003.
🔬Tür:Research Article
📍Kapsam:2003 Verileri
⚙️Değişkenler:Importance Sampling · Value at Risk · Monte Carlo Simulation

Abstract

In today's world, risk measurement and risk management are of great importance for various economic reasons. Especially in the crisis periods, the tail risk becomes very important in risk estimation. Many methods have been developed for accurate measurement of risk. The easiest of these methods is the Value at Risk (VaR) method. However, standard VaR methods are not very effective in tail risks. This study aims to demonstrate the usage of delta normal method, historical simulation method, Monte Carlo simulation, and importance sampling to calculate the value at risk and to show which method is more effective by applying them to the S&P index between 1993 and 2003.

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Bu Makaleye Atıf Yap

Çoban, H., Kocakoç, İ. D., Erken, Ş., Aksoy, M. A. (2019). Reducing Variation of Risk Estimation by Using Importance Sampling. Alphanumeric Journal, Volume: 7 Issue: 2. https://doi.org/10.17093/alphanumeric.605584

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