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Year 2017, Volume: 6 Issue: 3, 254 - 263, 30.09.2017
https://doi.org/10.17261/Pressacademia.2017.685

Abstract

References

  • Alkin E., Savaş T., Akman V. 2001 , “Bankalarda Risk Yönetimine Giriş”, İstanbul: Çetin Matbaacılık.
  • BDDK 2001, “Bankaların İç Denetim ve Risk Yönetimi Sistemleri Hakkında Yönetmelik”, Official Gazette, No. 24312.
  • BDDK 2006, “Risk Ölçüm Modelleri İle Piyasa Riskinin Hesaplanmasına ve Risk Ölçüm Modellerinin Değerlendirilmesine İlişkin Tebliği”, Official Gazette, No. 26335.
  • BIS Basel Committee on Banking Supervison) 2006, “Core Principles for Effective Banking Supervision”, <http://www.bis.org/publ/bcbs129>
  • Bostancı, A. 2006, “Riske Maruz Değer Hesaplama Yöntemlerinin Karşılaştırılması ve Geriye Dönük Test Backtesting) Uygulaması”, Master Thesis, Zonguldak: Zonguldak Karaelmas University, Graduate School Of Social Sciences.
  • Dowd, K. 1998, “Beyond Value at Risk: The New Science of Risk Management”, John Wiley & Sons, Inc, Chicester.
  • Gökgöz, E. 2006, “Riske Maruz Değer VaR) ve Portföy Optimizasyonu”, , Ankara: Sermaye Piyasası Kurulu Publishing, No:190.
  • Jorion, P. 2000, “Value At Risk: The New Benchmark for Managing Financial Risk”, New York, USA: McGraw-Hill.
  • JP Morgan/Reuters 1996, “Riskmetrics Technical Document”, 219-223.
  • Küçüközmen, C. 1999, “Bankacılıkta Risk Yönetimi ve Sermaye Yeterliliği: Value at Risk Uygulamaları”, İktisat İşletme ve Finans Dergsi.
  • Selimov, V. 2006, “Riske Maruz Değer (Value At Risk) ve Uç Değerler Yaklaşımı: Teorisi ve Uygulaması”, <http://paribus.tr.googlepages.com/v_selimov.doc>
  • Şahin, H. 2004, “Riske Maruz Değer Hesaplama Yöntemleri”, Ankara: Turhan Kitabevi.

COMPARISON OF VALUE AT RISK METHODS: APPLICATION OF ISE 30

Year 2017, Volume: 6 Issue: 3, 254 - 263, 30.09.2017
https://doi.org/10.17261/Pressacademia.2017.685

Abstract

Purpose- The main purpose of this paper is to measure the potential
losses of the portfolio obtained from ISE-30 using three different methods with
VaR methods.

Methodology- Historical Simulation, Variance-Covariance Method and
Monte Carlo Simulation are used for the calculation of VaR. These three methods
are examined regarding their results on the portfolios created according to
different criteria. The price series of ISE 30 are used to create different
three portfolios and their VaR results are compared. The performance of VaR
results are checked by backtesting process after calculating VaR. VaR results
are discussed by examining the performance of the methods for each portfolio.

Findings- When the VaR of the portfolios are examined, the lowest VaR
result of three portfolios is obtained in Portfolio 2 which is formed according
to volatility criterion. One of the remarkable results of this study is that,
as mentioned above, V-C and MCS methods give similar results. On the other
hand, VaR results of the Historical Simulation Method are higher, and emerge in
the green area in test process.  Conclusion- It may be advisable for
banks or other investors in the financial sector to move to the top of the
order of preference according to the retrospective test results of TS method
under high confidence level conditions. On the other hand, the results of the
V-K and MCS method should be tested with the Backtesting by extending the
observation period. 

References

  • Alkin E., Savaş T., Akman V. 2001 , “Bankalarda Risk Yönetimine Giriş”, İstanbul: Çetin Matbaacılık.
  • BDDK 2001, “Bankaların İç Denetim ve Risk Yönetimi Sistemleri Hakkında Yönetmelik”, Official Gazette, No. 24312.
  • BDDK 2006, “Risk Ölçüm Modelleri İle Piyasa Riskinin Hesaplanmasına ve Risk Ölçüm Modellerinin Değerlendirilmesine İlişkin Tebliği”, Official Gazette, No. 26335.
  • BIS Basel Committee on Banking Supervison) 2006, “Core Principles for Effective Banking Supervision”, <http://www.bis.org/publ/bcbs129>
  • Bostancı, A. 2006, “Riske Maruz Değer Hesaplama Yöntemlerinin Karşılaştırılması ve Geriye Dönük Test Backtesting) Uygulaması”, Master Thesis, Zonguldak: Zonguldak Karaelmas University, Graduate School Of Social Sciences.
  • Dowd, K. 1998, “Beyond Value at Risk: The New Science of Risk Management”, John Wiley & Sons, Inc, Chicester.
  • Gökgöz, E. 2006, “Riske Maruz Değer VaR) ve Portföy Optimizasyonu”, , Ankara: Sermaye Piyasası Kurulu Publishing, No:190.
  • Jorion, P. 2000, “Value At Risk: The New Benchmark for Managing Financial Risk”, New York, USA: McGraw-Hill.
  • JP Morgan/Reuters 1996, “Riskmetrics Technical Document”, 219-223.
  • Küçüközmen, C. 1999, “Bankacılıkta Risk Yönetimi ve Sermaye Yeterliliği: Value at Risk Uygulamaları”, İktisat İşletme ve Finans Dergsi.
  • Selimov, V. 2006, “Riske Maruz Değer (Value At Risk) ve Uç Değerler Yaklaşımı: Teorisi ve Uygulaması”, <http://paribus.tr.googlepages.com/v_selimov.doc>
  • Şahin, H. 2004, “Riske Maruz Değer Hesaplama Yöntemleri”, Ankara: Turhan Kitabevi.
There are 12 citations in total.

Details

Journal Section Articles
Authors

Zeynep Ilhan Dalbudak This is me

Murat Atan

Veysel Yılmaz

Publication Date September 30, 2017
Published in Issue Year 2017 Volume: 6 Issue: 3

Cite

APA Ilhan Dalbudak, Z., Atan, M., & Yılmaz, V. (2017). COMPARISON OF VALUE AT RISK METHODS: APPLICATION OF ISE 30. Journal of Business Economics and Finance, 6(3), 254-263. https://doi.org/10.17261/Pressacademia.2017.685

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