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Ulaştırma ve Lojistik Kongreleri

alphanumeric journal

The Journal of Operations Research, Statistics, Econometrics and Management Information Systems

Reducing Variation of Risk Estimation by Using Importance Sampling


Hatem Çoban

İpek Deveci Kocakoç, Ph.D.

Şemsettin Erken

Mehmet Akif Aksoy


In today's world, risk measurement and risk management are of great importance for various economic reasons. Especially in the crisis periods, the tail risk becomes very important in risk estimation. Many methods have been developed for accurate measurement of risk. The easiest of these methods is the Value at Risk (VaR) method. However, standard VaR methods are not very effective in tail risks. This study aims to demonstrate the usage of delta normal method, historical simulation method, Monte Carlo simulation, and importance sampling to calculate the value at risk and to show which method is more effective by applying them to the S&P index between 1993 and 2003.

Keywords: Delta Normal Method, Importance Sampling, Monte Carlo Simulation, Tail Risk, Value at Risk

Jel Classification: G32

Suggested citation

Çoban, H., Deveci Kocakoç, İ., Erken, Ş. & Aksoy, M. A. (). Reducing Variation of Risk Estimation by Using Importance Sampling. Alphanumeric Journal, 7(2), 173-184. http://dx.doi.org/10.17093/alphanumeric.605584


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Volume 7, Issue 2, 2019


alphanumeric journal

Volume 7, Issue 2, 2019

Pages 173-184

Received: Aug. 15, 2019

Accepted: Dec. 22, 2019

Published: Dec. 31, 2019

Full Text [762.5 KB]

2019 Çoban, H., Deveci Kocakoç, İ., Erken, Ş., Aksoy, MA.

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