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.
Value at Risk historical simulation method variance-covariance (parametric) method Monte Carlo simulation method ISE 30
Bölüm | Articles |
---|---|
Yazarlar | |
Yayımlanma Tarihi | 30 Eylül 2017 |
Yayımlandığı Sayı | Yıl 2017 |
Journal of Business, Economics and Finance (JBEF) is a scientific, academic, double blind peer-reviewed, quarterly and open-access journal. The publication language is English. The journal publishes four issues a year. The issuing months are March, June, September and December. The journal aims to provide a research source for all practitioners, policy makers and researchers working in the areas of business, economics and finance. The Editor of JBEF invites all manuscripts that that cover theoretical and/or applied researches on topics related to the interest areas of the Journal. JBEF charges no submission or publication fee.
Ethics
Policy - JBEF applies the standards of
Committee on Publication Ethics (COPE). JBEF is committed to the academic
community ensuring ethics and quality of manuscripts in publications.
Plagiarism is strictly forbidden and the manuscripts found to be plagiarized
will not be accepted or if published will be removed from the publication. Authors
must certify that their manuscripts are their original work. Plagiarism,
duplicate, data fabrication and redundant publications are forbidden. The
manuscripts are subject to plagiarism check by iThenticate or similar. All manuscript submissions must provide a similarity report (up to 15% excluding quotes, bibliography, abstract, method).
Open Access - All research articles published in PressAcademia Journals are fully open access; immediately freely available to read, download and share. Articles are published under the terms of a Creative Commons license which permits use, distribution and reproduction in any medium, provided the original work is properly cited. Open access is a property of individual works, not necessarily journals or publishers. Community standards, rather than copyright law, will continue to provide the mechanism for enforcement of proper attribution and responsible use of the published work, as they do now.