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

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 ...

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