INTEREST RATE RISK IN TURKISH FINANCIAL MARKETS ACROSS DIFFERENT TIME PERIODS
A Measuring the risk associated with interest rates is important since it is beneficial in taking measures before negative effects can take place in an economy. We obtain a risk measure for interest rates by fitting the generalized Pareto distribution (GPD) to positive extreme day-to-day changes of...
| Main Authors: | , |
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| Format: | Article |
| Language: | Indonesian |
| Published: |
Bank Indonesia
2014-09-01
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| Series: | Bulletin Ekonomi Moneter dan Perbankan |
| Online Access: | https://www.bmeb-bi.org/index.php/BEMP/article/view/444 |