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Determination of dependency parameter in joint distribution of dependent risks by fuzzy approach
(Elsevier Science Bv, 2006) Tank, Fatih; Gebizlioğlu, Ömer L.; Apaydın, Ayşen
Frechet bounds for distribution of sum of dependent risks and Farlie-Gumbel-Morgenstein (FOM) distribution family are suggested for the analysis of dependent risks. Behaviour of the coefficient of dependency in FGM distribution is investigated by fuzzy approach. Deliberations are made for the dependency and uncertainty context. (c) 2005 Elsevier B.V. All fights reserved.
Measurement of bivariate risks by the north-south quantile points approach
(Elsevier Science Bv, 2014) Kara, Emel Kızıkok; Gebizlioğlu, Ömer L.
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.