BibTex RIS Cite

Risk Ölçümünde Riske Maruz Değer Metodolojisi ve İMKB’de Bir Uygulama

Year 2008, Issue: 38, 123 - 131, 01.04.2008

Nurullah Uçkun Serkan Kandemir

Abstract

Bu çalışmanın amacı; istatistiksel bir risk ölçüm aracı olan Riske Maruz Değer Metodolojisi’ni açıklamak ve İstanbul Menkul Kıymet Borsası’nda işlem gören farklı iki endeksten seçilen hisse senetlerinden oluşmuş iki portföy üzerinde bu metodolojiyi uygulayarak, söz konusu portföylerin risk karakterlerini risk ölçüleri ışığında karşılaştırmaktır. Bu çalışmanın verileri internet ortamından sağlanmış, veriler SPSS 10.0 ve MATLAB 6.1 programları ile analiz edilmiştir. Araştırma sonuçlarına göre; portföylerin risk karakterleri aynı dönemlerde farklı özellikler göstermektedir.

Keywords

Risk riske maruz değer portföy riski.

(Value at Risk Methodology in Risk Measurement and an Implementation in Istanbul Stock Exchange)

Year 2008, Issue: 38, 123 - 131, 01.04.2008

Nurullah Uçkun Serkan Kandemir

Abstract

The purpose of this study is was to explain Value at Risk Methodology and to compare the risk characteristics under the outcomes of the statistical measurements of two portfoilos which were constituted among two indexes that belongs to Istanbul Stock Exchange. Data were collected from internet and analyzied by using SPSS 10.0 and MATLAB 6.1. Results of the study are display that these portfoilos have different risk characteristics in the same periods.

Keywords

Risk value at risk portfolio risk.

There are 0 citations in total.

Details

Other ID JA89TR35ZM
Journal Section Research Article
Authors

Nurullah Uçkun This is me

Serkan Kandemir This is me

Publication Date April 1, 2008
Submission Date April 1, 2008
Published in Issue Year 2008 Issue: 38

Cite

APA Uçkun, N., & Kandemir, S. (2008). (Value at Risk Methodology in Risk Measurement and an Implementation in Istanbul Stock Exchange). The Journal of Accounting and Finance(38), 123-131.
AMA Uçkun N, Kandemir S. (Value at Risk Methodology in Risk Measurement and an Implementation in Istanbul Stock Exchange). The Journal of Accounting and Finance. April 2008;(38):123-131.
Chicago Uçkun, Nurullah, and Serkan Kandemir. “(Value at Risk Methodology in Risk Measurement and an Implementation in Istanbul Stock Exchange)”. The Journal of Accounting and Finance, no. 38 (April 2008): 123-31.
EndNote Uçkun N, Kandemir S (April 1, 2008) (Value at Risk Methodology in Risk Measurement and an Implementation in Istanbul Stock Exchange). The Journal of Accounting and Finance 38 123–131.
IEEE N. Uçkun and S. Kandemir, “(Value at Risk Methodology in Risk Measurement and an Implementation in Istanbul Stock Exchange)”, The Journal of Accounting and Finance, no. 38, pp. 123–131, April 2008.
ISNAD Uçkun, Nurullah - Kandemir, Serkan. “(Value at Risk Methodology in Risk Measurement and an Implementation in Istanbul Stock Exchange)”. The Journal of Accounting and Finance 38 (April 2008), 123-131.
JAMA Uçkun N, Kandemir S. (Value at Risk Methodology in Risk Measurement and an Implementation in Istanbul Stock Exchange). The Journal of Accounting and Finance. 2008;:123–131.
MLA Uçkun, Nurullah and Serkan Kandemir. “(Value at Risk Methodology in Risk Measurement and an Implementation in Istanbul Stock Exchange)”. The Journal of Accounting and Finance, no. 38, 2008, pp. 123-31.
Vancouver Uçkun N, Kandemir S. (Value at Risk Methodology in Risk Measurement and an Implementation in Istanbul Stock Exchange). The Journal of Accounting and Finance. 2008(38):123-31.