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2 tr yatrmc vardr: emeklilik fonlar ve bir gnlk yatrm ufku olan gnlk tccarlar. Bu 2 tr yatrmc, aadaki 2 senaryoda VaR ve ES'ye ne

2 tr yatrmc vardr: emeklilik fonlar ve bir gnlk yatrm ufku olan gnlk tccarlar.

Bu 2 tr yatrmc, aadaki 2 senaryoda VaR ve ES'ye ne kadar farkl yaklamaldr:?

(i) getirilerin otokorelasyonu olduunda VE (ii) (idnler normal olarak daldnda, ortalama sfrdan bamsz olduunda (bamsz ve ayn ekilde dalm olduklarn varsayabilirsiniz)

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