دورية أكاديمية
Reducing Variation of Risk Estimation by Using Importance Sampling
| العنوان: | Reducing Variation of Risk Estimation by Using Importance Sampling |
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| المؤلفون: | Hatem Çoban, İpek Deveci Kocakoç, Şemsettin Erken, Mehmet Akif Aksoy |
| المصدر: | Alphanumeric Journal, Vol 7, Iss 2, Pp 173-184 (2019) |
| بيانات النشر: | Istanbul University, 2019. |
| سنة النشر: | 2019 |
| المجموعة: | LCC:Industrial engineering. Management engineering LCC:Business |
| مصطلحات موضوعية: | delta normal method, importance sampling, monte carlo simulation, tail risk, value at risk, Industrial engineering. Management engineering, T55.4-60.8, Business, HF5001-6182 |
| الوصف: | 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 SP index between 1993 and 2003. |
| نوع الوثيقة: | article |
| وصف الملف: | electronic resource |
| اللغة: | English Turkish |
| تدمد: | 2148-2225 |
| Relation: | http://alphanumericjournal.com/media/Issue/volume-7-issue-2-2019/reducing-variation-of-risk-estimation-by-using-importance-sa_z9RFQne.pdf; https://doaj.org/toc/2148-2225 |
| DOI: | 10.17093/alphanumeric.605584 |
| URL الوصول: | https://doaj.org/article/e7d42bedd0bc4615bfbb2e84cff8d5cf |
| رقم الأكسشن: | edsdoj.7d42bedd0bc4615bfbb2e84cff8d5cf |
| قاعدة البيانات: | Directory of Open Access Journals |
Full Text Finder | تدمد: | 21482225 |
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| DOI: | 10.17093/alphanumeric.605584 |