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    Value at risk for risk management with normal-logDagum mixture distribution
    (Taylor & Francis Ltd, 2021) Erisoglu, Ulku; Koroglu, Yasemin
    In this article, we aimed to calculate the value at risk (VaR), which is one of the financial risk calculation methods, by using mixture of two different distributions when the financial data does not fit the normal distribution. The normal-logDagum distribution consisting of mixture of Normal and log-Dagum distributions is proposed to calculate the VaR for non-normal financial data in the study. The expected-maximization (EM) algorithm for the maximum likelihood estimates of the parameters of normal-logDagum was defined. In application, the stocks of bank and telecommunication companies were examined. VaR values obtained with different distributions are compared numerically. As a result of the comparison, it was seen that the modeling based on normal-logDagum distribution is more successful in the statistical modeling of financial data.