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Pazar Risk Modeli: Bir Riske Maruz Deger ve Stres Testi Uygulamasi

Author

Listed:
  • G. Cenk AKKAYA

    (Dokuz Eylul Universitesi, Iktisadi ve Idari Bilimler Fakultesi, Isletme Bolumu)

  • N. Mine TUKENMEZ

    (Dokuz Eylul Universitesi, Iktisadi ve Idari Bilimler Fakultesi, Isletme Bolumu)

  • Nilgun Kutay

    (Dokuz Eylul Universitesi, Iktisadi ve Idari Bilimler Fakultesi, Isletme Bolumu)

  • Ali KABAKCI

    (Dokuz Eylul Universitesi, Iktisadi ve Idari Bilimler Fakultesi, Isletme Bolumu)

Abstract

Son finansal krizlerde ozellikle kisitlarindan bahsedilmesine ragmen riske maruz deger (VaR) modellerinin, risk yontemi araci olarak cok faydali oldugu ispatlanmistir. Stres testleri ise makul kosullar altinda olasi kaybin ortaya koyulmasi amaciyla kullanilmaktadir. Aslinda, gunumuzde bircok isletme stres testlerine de en az VaR modeli kadar onem vermektedir. Bu baglamda calisma, pazar risk modeline iliskin butuncul bir yaklasim icermektedir.

Suggested Citation

  • G. Cenk AKKAYA & N. Mine TUKENMEZ & Nilgun Kutay & Ali KABAKCI, 2008. "Pazar Risk Modeli: Bir Riske Maruz Deger ve Stres Testi Uygulamasi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 8(2), pages 813-821.
    • Handle: RePEc:ege:journl:v:8:y:2008:i:2:p:813-821
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    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises

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