Measurement of bivariate risks by the north-south quantile points approach

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dc.contributor.authorKara, Emel Kızıkok
dc.contributor.authorGebizlioğlu, Ömer L.
dc.date.accessioned2020-06-25T18:12:33Z
dc.date.available2020-06-25T18:12:33Z
dc.date.issued2014
dc.departmentKırıkkale Üniversitesi
dc.descriptionGebizlioglu, Omer/0000-0002-3824-281X
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.citationKara, E.K., & Gebizlioglu, Ö.L. (2014). Measurement of bivariate risks by the north-south quantile points approach. J. Comput. Appl. Math., 255, 208-215.en_US
dc.identifier.doi10.1016/j.cam.2013.04.050
dc.identifier.endpage215en_US
dc.identifier.issn0377-0427
dc.identifier.issn1879-1778
dc.identifier.scopus2-s2.0-84878806993
dc.identifier.scopusqualityQ1
dc.identifier.startpage208en_US
dc.identifier.urihttps://doi.org/10.1016/j.cam.2013.04.050
dc.identifier.urihttps://hdl.handle.net/20.500.12587/5967
dc.identifier.volume255en_US
dc.identifier.wosWOS:000326201800017
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherElsevier Science Bven_US
dc.relation.ispartofJournal Of Computational And Applied Mathematics
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.typeArticle

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