Rethinking Valuation and Pricing Models

18

High-Frequency Performance of Value at Risk and Expected ShortfallEvidence from ISE30 Index Futures

Cumhur Ekinci^∗, Kasirga Yildirak^∗∗ and Ali Sabri Taylan^∗∗∗

^∗Istanbul Technical University

^∗∗Trakya University

^∗∗∗Turkish Derivatives Exchange (TURKDEX) and Dokuz Eylül University

18.1 Introduction

18.2 Literature

18.3 Market and Data

18.4 Methodology

18.5 Empirical Results

18.6 Conclusion

Notes

References

18.1 Introduction

Risk shows the limits of unwanted occurrences. In finance, as in many other disciplines, measuring risk is an important area of research. Risk measurement is widely used by banks and financial institutions as well as portfolio managers and professional investors. Among many measures of risk are the standard deviation of ...