Mixture distribution approach in financial risk analysis

In recent years, major changes that occur in stock and exchange revealed the need to measure financial risk. Today, Value-at-Risk (VaR), is used as a standart criterion in the calculation of financial risk. The method that is most used in the calculation of VaR is Parametric (Varyans-Covariance). In this method it is presumed that financial data are adapted to normal distribution. When financial data do not match with normal distribution, financial risk can be calculated by using normal mixture distribution models to parametric method. In this work, financial risk will be calculated by using normal mixture distribution models to parametric method approach with VaR.Keywords: Financial Risk, Value-at-Risk (VaR), Normal Mixture Distribution.