Importance of Modelling the Dependence for Risk Capital Allocation Abstract

Öz

Portfolio managers’ first concern is the accuracy of the measurement and the allocation of the risk of the

portfolio. There exists many risk measures in the literature which provide a solution to the former

problem. On the other hand, risk capital allocation provides an efficient portfolio management. It

distributes the diversification benefits among the sub-portfolios. It is known that one of the important

steps of the risk management is the determination of the dependence structure of sub-portfolios. Copula

provides a nice and easy solution to this problem. In this study it is shown that the dependence structure

plays an important role for risk capital allocation and inaccurate selection of copula can create

ineffective allocations

Anahtar Kelimeler

• risk capital allocation,copula,risk measures,geometric Brownian motion

Risk Sermayesi Dağıtımında Bağımlılık Modellemesinin Önemi

Öz

 Portföy yöneticilerinin en önemli kaygılarından biri portföy risklerinin ölçümünün ve bu risklerin

dağıtımının doğruluğudur. Literatürde birçok risk ölçümü ilk soruna çözüm üretmektedir. Diğer taraftan

risk sermayesi dağıtımı, çesitlendirmeden kaynaklanan faydaları portföye dağıtarak etkin bir portföy

yönetimi sağlar. Bilindiği gibi risk yönetiminde en önemli adımlardan biri portföyün bağımlılık

modellemesidir. Copula bağımlılık modellemesinde etkin ve kullanıslı bir yöntemdir. Bu çalısmada

bağımlılık modellemesinin risk sermayesi dağıtımında çok önemli bir rol oynadığı ve uygun olmayan

copula seçiminin etkin olmayan risk sermayesi dağıtımına yol açabileceği gösterilmistir.

Anahtar Kelimeler

• risk sermayesi dağıtımı,copula,risk ölçümleri,geometrik Brownian hareketi

Kaynakça

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