Ali Rıfat Kulu, An Adaptive Hybrid Extreme-Value Framework for Daily Value-at-Risk Estimation in the Turkish Equity Market
This thesis develops a modular Value-at-Risk (VaR) framework tailored for the Borsa Istanbul (BIST) equity market. To overcome the failure of normality assumptions in emerging markets, we integrate volatility filtering with semi-parametric tail modeling. We introduce a dynamic scaling mechanism (kdyn) that adjusts forecasts based on recent violations. Empirical analysis of 28 liquid stocks (2005–2025) shows that our adaptive Filtered Historical Simulation model achieves an 82.1% success rate in Conditional Coverage tests. These findings validate that decoupling volatility dynamics from tail shape significantly improves risk estimation stability during market stress.
Date: 12.01.2026 / 13:30 Place: A-212









