| dc.contributor.author | Kara, Emel Kızılok | |
| dc.contributor.author | Gebizlioğlu, Ömer Lütfi | |
| dc.date.accessioned | 2019-06-27T08:03:16Z | |
| dc.date.available | 2019-06-27T08:03:16Z | |
| dc.date.issued | 2014 | |
| dc.identifier.issn | 0377-0427 | en_US |
| dc.identifier.issn | 1879-1778 | en_US |
| dc.identifier.uri | https://hdl.handle.net/20.500.12469/764 | |
| dc.identifier.uri | https://doi.org/10.1016/j.cam.2013.04.050 | |
| dc.description.abstract | This paper attempts to determine the Value at Risk (VaR) and Conditional Value at Risk (CVaR) measures for the sum of bivariate risks under dependence. The computation of these risk measures is performed by the north-south quantile points of bivariate distributions. The Farlie-Gumbel-Morgenstern (FGM) copula model is chosen to express dependence of bivariate risks. The behaviors of VaR and CVaR are examined by varying dependence parameter values of the copula model and probability levels of the risk measures. The findings are interpreted from the view point of portfolio risk management. (C) 2013 Elsevier B.V. All rights reserved. | en_US] |
| dc.language.iso | eng | en_US |
| dc.publisher | Elsevier Science | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Risk measures | en_US |
| dc.subject | Copula | en_US |
| dc.subject | Bivariate quantiles | en_US |
| dc.subject | North-south quantile points | en_US |
| dc.title | Measurement of bivariate risks by the north-south quantile points approach | en_US |
| dc.type | article | en_US |
| dc.identifier.startpage | 208 | en_US |
| dc.identifier.endpage | 215 | |
| dc.relation.journal | Journal of Computational and Applied Mathematics | en_US |
| dc.identifier.volume | 255 | en_US |
| dc.department | Fakülteler, İşletme Fakültesi, Uluslararası Ticaret ve Finans Bölümü | en_US |
| dc.identifier.wos | WOS:000326201800017 | en_US |
| dc.identifier.doi | 10.1016/j.cam.2013.04.050 | en_US |
| dc.identifier.scopus | 2-s2.0-84878806993 | en_US |
| dc.institutionauthor | Gebizlioğlu, Ömer Lütfi | en_US |
| dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
