TÜRKİYE’DE FAİZ VE KUR RİSKİNE İLİŞKİN STANDART YÖNTEM UYGULAMASI: İÇSEL ÖLÇÜM YÖNTEMLERİYLE SINANMASI

Yıl 2019, Cilt: 11 Sayı: 20, 28 - 65, 01.01.2019

Elvan Altıkulaç Erişah Arıcan

https://doi.org/10.14784/marufacd.599161

Öz

Bu çalışmada, genel olarak bankaların maruz oldukları risklere değinildikten sonra, BDDK tarafından düzenlenen ve sermaye yeterlilik oranı hesaplamalarına girdi olan, piyasa riski bileşenlerinden faiz ve kur riski için örnek bir banka portföyü üzerinden standart yöntemle sermaye yükümlülüğü hesaplanmaktadır. Aynı portföy için, riske maruz değer, volatilite ve verim eğrisi yöntemlerinden oluşan kombinasyonlar ile oluşturulan içsel modellerle, belirli bir güven düzeyinde portföyün uğrayacağı maksimum zarar tutarı yani riske maruz değer ve ekonomik sermaye yükümlülüğü hesaplandıktan sonra, standart yöntem ile içsel model sonuçlarının karşılaştırması yapılmıştır.

Anahtar Kelimeler

Riske Maruz Değer, Faiz ve Kur Riski, Standart Yöntem, İçsel Ölçüm Yöntemleri

Kaynakça

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