Ekstrem değerler teorisi ve Monte Carlo simülasyonu: Gelişen ülke döviz kurları üzerine bir uygulama

Year 2018, Volume: 11 Issue: 2, 121 - 142, 31.12.2018

Önder Büberkökü

Abstract

Bu çalışmada Brezilya, Meksika, G. Kore, Tayvan, Hindistan, Tayland, Türkiye ve G. Afrika’dan oluşan 8 gelişen ülkenin para birimlerinin ekstrem finansal koşulların söz konusu olması durumunda maruz kalabileceği maksimum kayıp tutarları hesaplanmıştır. Hesaplamalarda ekstrem değerler teorisinden (Extreme value theory) yararlanılmış ve farklı döviz pozisyonlarını dikkate almak amacıyla hem aşağı hem de yukarı yönlü piyasa riski (downside and upside market risk) üzerinde durulmuştur. Çalışmada finansal risk yönetimi açısından bir diğer önemli gösterge olan beklenen kayıp tutarları (Expected Shortfall, ES) da hesaplanmıştır. Çalışma bulguları ilgili ülkelerin döviz piyasalarında ekstrem durumların gerçekleşmesi durumunda hem kısa hem de uzun pozisyonlar için en yüksek kayıp tutarlarının sırasıyla Brezilya Reali ve G.Afrika Randı; en düşük kayıp tutarlarının ise Yeni Tayvan Doları, Tayland Bahtı ve Hindistan Rupisinde gerçekleşebileceğini göstermektedir. ES değerlerinin de benzer bulgulara işaret ettiği görülmüştür. Çalışmada, normal piyasa koşullarındaki kayıp tutarlarını temsilen Monte Carlo simülasyonuna dayalı finansal risk analizlerine de yer verilmiştir.

Keywords

Beklenen kayıp tutarları, Döviz kurları, Ekstrem değerler teorisi, Monte Carlo simülasyonu, Riske maruz değer

Extreme value theory and Monte Carlo simulation: An application to emerging markets exchange rates

Abstract

In this study, the maximum amount of losses to which the emerging market currencies including Brazilian Real, Mexico Peso, South Korean Won, New Taiwan Dollar, Indian Rupee, Thailand Bahd, Turkish Lira and South African Rand can be exposed due to extreme financial conditions is measured by using value-at-risk based on extreme value theory (EVT-VaR). In order to take into account the different trading positions (i.e. long and short ones) both upside and downside market risks are considered. In all cases expected shortfall is also calculated. The findings based on EVT-VaR show that in the case of extreme financial conditions in foreign exchange markets of the countries concerned, the highest losses for both short and long positions are in Brazilian Real and south African Rand; while the lowest losses are in New Taiwan Dollar, Thai Baht and Indian Rupee. In all cases ES also indicates the similar results. Lastly, for comparative analyses, the study also includes risk analyzes based on Monte Carlo simulation, representing losses in normal market conditions.

Keywords

Expected shortfall, Exchange rates, Extreme value theory, Monte Carlo simulation, Value-at-risk

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