VALUE AT RISK (VaR): CONCEPTUAL DEVELOPMENT PROCESS, IMPLEMENTATION AND EVALUATION

Year 2023, Volume: 9 Issue: 1, 80 - 103, 30.06.2023

Oğuz Kayhan

https://doi.org/10.54863/jief.1307438

Abstract

In today's world, where risk management is extremely important, the accuracy of Value at Risk (VaR) based risk measurement methods has been a subject of debate for a long time. The intensity of this ongoing debate has increased significantly since the global financial crisis of 2008. Indeed, as a result of the developments that began with subprime mortgages in the United States and depened into a historic financial and economic crisis, hearings were held in the House of Representatives where VaR practices were somewhat judged, and expert academics and professionals testified as sworn witnesses on the subject. As a result of all these debates, significant literature has been developed aiming to develop alternative measurement methods. The debates and criticisms regarding VaR have influenced the Basel Committee's perspective on market risk models, which is reflected in the new market risk standards published in 2016. Conceptually, VaR (Value at Risk) can be defined as the maximum potential loss in the value of a financial asset or portfolio within a specified time period, with a certain probability. In this study, the VaR approach is examined conceptually, the debates conducted on this subject from the past to the present at an academic and professional level are presented and the current state is summarized briefly.

RİSKE MARUZ DEĞER (VaR): KAVRAMSAL GELİŞİM SÜRECİ, UYGULAMA VE DEĞERLENDİRME

Abstract

Risk yönetiminin son derece önemli olduğu günümüzde, VaR bazlı risk ölçüm yöntemlerinin ne kadar doğru sonuç verdiği hususu uzun zamandır tartışılmaktadır. 1990'lı yıllardan beri süregelen bu tartışmanın dozu, 2008 yılında yaşanan küresel finansal kriz sonrasında iyice artmıştır. Öyle ki ABD'de sorunlu eşikaltı kredileriyle başlayan ve derinleşerek tarihi bir finansal ve ekonomik krize yol açan gelişmeler sonucunda, Temsilciler Meclisi’nde bir anlamda VaR uygulamalarının yargılandığı, konu hakkında uzman bazı akademisyen ve profesyonellerin yeminli tanıklık yaptığı duruşmalar gerçekleştirmiştir. Tüm bu tartışmalar sonucunda, alternatif ölçüm yöntemleri geliştirmeye yönelik önemli bir literatür oluşmuştur. VaR’a ilişkin tartışma ve eleştiriler, Basel Komitesi’nin de piyasa riski ile ilgili modellere bakış açısını etkilemiş ve bu durum 2016 yılında yayımlanan yeni piyasa riski standartlarına da yansımıştır. Kavramsal olarak VaR, belirlenen bir zaman döneminde, belirli bir olasılıkla, finansal bir varlığın veya portföyün değerinde meydana gelebilecek en fazla kayıp olarak tanımlanabilir. Çalışmada VaR yaklaşımı kavramsal olarak ele alınmakta, akademik ve profesyonel düzeyde, geçmişten günümüze bu konuya ilişkin yürütülen tartışmalar sunulmakta ve günümüzde gelinen nokta kısaca özetlenmektedir.

Keywords

VaR, Riske Maruz Değer, Basel Komite

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