Risk evaluation of exchange rate portfolio based on the copula-GARCH approach

Öz

In this paper, risk estimation for the portfolio consisting of USD/TRY and JPY/TRY exchange rates is performed via the copula-GARCH approach. For this purpose, risk estimation models are created by means of alternative weighting techniques. The dependency between the related variables is modelled through copulas since they provide a flexible method for modelling various dependency structures such as tail dependency. It is aimed to obtain a better risk estimation model by combining the copula-GARCH approach with several weighting techniques. It is decided that the dependency between USD/TRY and JPY/TRY exchange rates is best modeled by Students' t copula among copulas tried in this study. The risk estimation models produced by the copula-GARCH approach outperform classical methods. Finally, it is concluded that the risk estimation model based on the copula-GARCH approach combined with the minimum variance weights gives better results than other weighting techniques in terms of both the performance of the risk measures and the backtesting outcomes.

Anahtar Kelimeler

• : Copula approach
• Dependence modelling
• Exchange rate market
• Risk management
• Weighting techniques.

Kopula-GARCH yaklaşımıyla döviz kurları portföyünün risk değerlendirmesi

Öz

Bu çalışmada, USD/TRY ve JPY/TRY döviz kurlarından oluşan portföyün kopula-GARCH yaklaşımıyla risk tahmini yapılmaktadır. Bu amaçla, alternatif ağırlıklandırma teknikleri kullanılarak risk tahmin modelleri oluşturulmaktadır. İlgili değişkenler arasındaki bağımlılık, kuyruk bağımlılığı gibi çeşitli bağımlılık yapılarının modellemede esnek bir yöntem sağladığı için kopulalar aracılığıyla modellenmektedir. Kopula-GARCH yaklaşımı çeşitli ağırlıklandırma teknikleri ile birleştirilerek daha iyi bir risk tahmin modeli elde edilmesi amaçlanmaktadır. USD/TRY ve JPY/TRY döviz kurları arasındaki bağımlılığın çalışmada denenen kopulalar arasında Student t kopula ile en iyi şekilde modellendiği belirlenmiştir. Kopula-GARCH yaklaşımı ile üretilen risk tahmin modellerinin klasik yöntemlere göre daha iyi performans göstermiştir. Son olarak, minimum varyans ağırlıkları ile birleştirilen kopula-GARCH yaklaşımına dayalı risk tahmin modelinin, hem risk ölçümlerinin performansı hem de geriye dönük test sonuçları açısından diğer ağırlıklandırma tekniklerine göre daha iyi sonuçlar verdiği sonucuna varılmıştır.

Anahtar Kelimeler

• Kopula yaklaşımı
• Bağımlılık modelleme
• Döviz kuru piyasası
• Risk yönetimi

Kaynakça

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