Measurement of Bivariate Risks by the North-South Quantile Points Approach

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dc.contributor.authorKara, Emel Kızılok
dc.contributor.authorGebizlioğlu, Ömer Lütfi
dc.date.accessioned2019-06-27T08:03:16Z
dc.date.available2019-06-27T08:03:16Z
dc.date.issued2014
dc.departmentFakülteler, İşletme Fakültesi, Uluslararası Ticaret ve Finans Bölümüen_US
dc.description.abstractThis 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.identifier.citation1
dc.identifier.doi10.1016/j.cam.2013.04.050en_US
dc.identifier.endpage215
dc.identifier.issn0377-0427en_US
dc.identifier.issn1879-1778en_US
dc.identifier.issn0377-0427
dc.identifier.issn1879-1778
dc.identifier.scopus2-s2.0-84878806993en_US
dc.identifier.scopusqualityQ2
dc.identifier.startpage208en_US
dc.identifier.urihttps://hdl.handle.net/20.500.12469/764
dc.identifier.urihttps://doi.org/10.1016/j.cam.2013.04.050
dc.identifier.volume255en_US
dc.identifier.wosWOS:000326201800017en_US
dc.identifier.wosqualityQ1
dc.institutionauthorGebizlioğlu, Ömer Lütfien_US
dc.institutionauthorGebizlioğlu, Ömer Lütfi
dc.language.isoenen_US
dc.publisherElsevier Scienceen_US
dc.relation.journalJournal of Computational and Applied Mathematicsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectRisk measuresen_US
dc.subjectCopulaen_US
dc.subjectBivariate quantilesen_US
dc.subjectNorth-south quantile pointsen_US
dc.titleMeasurement of Bivariate Risks by the North-South Quantile Points Approachen_US
dc.typeArticleen_US
dspace.entity.typePublication
relation.isAuthorOfPublication5a5c8816-1812-437a-81bb-7e07bf97810e
relation.isAuthorOfPublication.latestForDiscovery5a5c8816-1812-437a-81bb-7e07bf97810e

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