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AN APPLICATION ON THE METHODS OF MEASUREMENT OF MARKET RISKS OF INSURANCE COMPANIES FINANCIAL INVESTMENTS

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AN APPLICATION ON THE METHODS OF MEASUREMENT OF MARKET RISKS OF INSURANCE COMPANIES FINANCIAL INVESTMENTS

ABSTRACT

In emerging markets, to be able to provide sustainable competitive advantages and assets of the insurance companies are required to follow effective risk management policies. These developments increase the necessity of effective risk management for insurance companies. This study focuses on market risks, which are important elements of effective risk management. Also, the concept of value at risk (VaR), commonly used in the market risk measurement methods for financial investments that have the most impact of market risks, the more successful and measurable approach, has been used in this study. Value at risk calculated by the standard method is compared with value at risk calculated by the variance- covariance method in terms of cost and risk analysis.

Keywords: Insurance, Risk Management, Market Risk Mnagement, Value at Risk(VaR)

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(7)

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EDúND VHEHEL LVH EX GH÷LúLPOHULQ YHULOHQ IL\DW VHYL\HVLQGHNL GH÷LúLPOHUL

\DQVÕWPDPDVÕGÕU

%X YHULOHULQ KHVDSODQPDVÕ DQDOL] YH IRUPOH HGLOPHVL ([FHO SURJUDPÕ LOH

ROXúWXUXODQPRGHONXOODQÕODUDN\DSÕOPÕúWÕU

4.2. Varyans-.RYDU\DQV<|QWHPLLOH+HVDSODQDQ5LVNH0DUX]'H÷HU$QDOL]L 8\JXODPDGDNXOODQÕODQG]HOWLOPLúJQONNDSDQÕúIL\DWODUÕQGDQHOGHHGLOPLúJHWLUL

VHULOHULELUWDNÕPLVWDWLVWLNvDQDOL]OHUHWDELWXWXOPXúWXU%XDQDOL]OHUPDOL\DWÕUÕPODUÕQ

ULVNH PDUX] GH÷HU KHVDSODPDVÕQGD NXOODQÕODFDN RODQ 9DU\DQV-Kovaryans Yönteminin YRODWLOLWHVLQLQKHVDSODQPDVÕQGDNXOODQÕOPÕúWÕU

Bu formül,

Burada ; ı 9RODWLOLWH\L

%HNOHQHQJHWLULRUDQÕQÕ

( 5  1DNLWDNÕúODUÕQÕQEHNOHQHQGH÷HULQL

+HUQDNLWDNÕúÕQÕQJHUoHNOHúPHRUDQÕQÕJ|VWHULU

Tablo 2. Beklenen Getiriye Göre Hesaplanan Portfoyün Volatilitesi

$÷ÕUOÕN Standart Sapma

Devlet Tahvili (DT) 40% 0,0074

Hisse Senedi (HS) 5% 0,0727

9DGHOL0HYGXDW+HVDEÕ 9+ 50% 0,0127

Hazine Bonosu (HB) 5% 0,0018

Portföy 100% 0,0076031

dDOÕúPDGDSRUWI|\ROXúWXUDQILQDQVDO YDUOÕNODUÕQSL\DVDGDNLGH÷LúNHQOHUH J|UHED]

DOÕQDQ ]DPDQ VHULOHULQGH ULVN-getiri ikilisine ek olarak portföyün durumunu ortaya NR\XS  PDNVLPXP ND\ÕS KHVDSODQPÕú YH EX ND\ED J|UH SRUWI|\Q YRODWLOLWHVL

KHVDSODQPÕúWÕU (Bkz Tablo 2)

(8)

Varyans-.RYDU\DQV \|QWHPLQH J|UH ULVNH PDUX] GH÷HU KHVDSODQÕUNHQ JHWLUL

VHULOHULQH DLW GD÷ÕOÕPODUÕQ QRUPDO GD÷ÕOÕPD X\XS-X\PDGÕ÷Õ -DJXH %HUUD 7HVWL16

\DSÕOPÕúWÕU3RUWI|\QEDVÕNOÕNGH÷HULoDUSÕNOÕNGH÷HUL-0,3532311 olarak hesaplaQPÕú GD÷ÕOÕPÕQ VD÷D H÷LN KDILI oDUSÕN ROGX÷X DQODúÕOPDNWD YH -% GH÷HUL

RODUDNKHVDSODQPÕúJHWLULOHULQWDPRODUDNQRUPDOGD÷ÕOÕPDX\PDGÕ÷ÕWHVSLW

HGLOPLúDQFDNQRUPDOGD÷ÕOÕPDH÷ULVLQHVDKLSROGX÷XYDUVD\ÕPÕ\DSÕOPDNWDGÕU*HWLUL

RUDQODUÕ ) IRUPOLOH KHVDSODQÕU /RJDULWPLN JHWLULVL KHVDSODQDQ

SRUWI|\ YDUOÕNODUÕQÕQ EHOLUOL ELU JYHQ DUDOÕ÷ÕQGD SRUWI|\ YRODWLOLWHVL LOH oDUSÕOPDVÕ

VRQXFXZGH÷HULKHVDSODQPÕúWÕU %N]7DEOR

)

<XNDUÕGDWDQÕPODQDQ5W]DPDQÕQGD\DWÕUÕP\DSÕOPÕúRODQYDUOÕ÷ÕQIL\DWÕQÕYH3LVH

\DWÕUÕPÕQWYHW-]DPDQGLOLPOHULDUDVÕQGDNLJHWLULVLQLLIDGHHWPHNWHGLU

Bu formül : Burada;

Z $÷ÕUOÕNYHNW|UQ

ı 9RODWLOLWH\L

= Güvenilirlik (%99,5),

= Logaritmik getiriyi gösterir.

“w´GH÷HULQLELUGHQoRNHQVWUPDQÕbulunan portföye uygulanabilmesi için ;

IRUPONXOODQÕOÕU

16Jaque Berra Testi, HOGHNLJ|]OHPOHULQQRUPDOGD÷ÕOÕPDX\XSX\PDGÕ÷ÕQÕQEHOLUOHQPHVLQGHNXOODQÕODQ HQ\D\JÕQWHVWWLU

(9)

7DEOR%HNOHQHQ*HWLUL\H*|UH+HVDSODQDQ$÷ÕUOÕN9HNW|U

DT HS VM HB

w

0,002950 0,003634 0,006370 0,000090

w'

0,002950336 0,003633863 0,0063703 9,023E-05

Varyans-Kovaryans \|QWHPL\OHKHVDSODPD\DSÕOÕUNHQYRODWLOLWHQLQELOLQPHVLJHUHNLU

9RODWLOLWHLVHJHWLULVHULOHULQLQVDELWVWDQGDUWVDSPDQÕQKHVDSODQPDVÕ\ODEXOXQXU%X

VWDQGDUW VDSPDODU YH SRUWI|\ ROXúWXUDQ \DWÕUÕP DUDoODUÕQÕQ D÷ÕUOÕNODUÕ LOH ELUOLNWH

%99,5 güven düzeyinLQ GH÷HUL oDUSÕODUDN w YHNW|U KHVDSODQPÕúWÕU %X \|QWHPOH

KHVDSODPD \DSÕOÕUNHQ GH KHU ELU \DWÕUÕP DUDFÕQÕQ SRUWI|\GHNL D÷ÕUOÕ÷ÕQD J|UH

\DSÕOPÕúWÕU w YHNW|U KHVDSODQGÕNWDQ VRQUD SRUWI|\Q NROHUDV\RQ NDWVD\ÕVÕ17 KHVDSODQPÕúWÕU %N] 7DEOR 3RUWI|\QWRSODPGH÷HUL7/¶GLUZ

YHNW|U YH NRUHODV\RQ NDWVD\ÕVÕ DUDFÕOÕ÷Õ LOH 9DU\DQV-Kovaryans yöntemine göre ULVNHPDUX]GH÷HUKHVDSODQPÕúWÕU

7DEOR3RUWI|\2OXúWXUDQ'H÷LúNHQOHUHøOLúNLQ.RUHODV\RQ.DWVD\ÕODUÕ

DT HS VW HB

DT 1 -0,0504 -0,0365 -0,3323

HS -0,0504 1 -0,0448 -0,0482

VM -0,0365 -0,0448 1 0,03716

HB -0,3323 -0,0482 0,03716 1

.RUHODV\RQNDWVD\ÕVÕKHVDSODQDQSRUWI|\QYRODWLOLWHVLKHVDSODQÕU

'DKDVRQUDDúD÷ÕGDNLIRUPOLOHSRUWI|\Q50'¶L KHVDSODQPÕúWÕU

17.ROHUDV\RQNDWVD\ÕVÕ YDUOÕNODUÕQDUDVÕQGDNL LOLúNL\L J|VWHULU%X LOLúNL -  LOH  DUDVÕQGD\HU DOÕU

PozitLIGH÷HUOHUGLUHN\|QOGR÷UXVDOLOLúNL\LQHJDWLIGH÷HUOHULVHWHUV\|QOELUGR÷UXVDOLOLúNL\LEHOLUWLU

.RUHODV\RQNDWVD\ÕVÕLVHV|]NRQXVXGH÷LúNHQOHUDUDVÕQGDGR÷UXVDOELULOLúNL\RNWXU

(10)

gQFHNL E|OPOHUGH GH DQODWÕOGÕ÷Õ ]HUH,w \DWÕUÕP DUDoODUÕQÕQ ULVNH PDUX] GH÷HULQL

LoHUHQD÷ÕUOÕNYHNW|U w vektörünün transpozesi, korelasyon matrisidir.

Tablo 5. KovaryansMatrisi Kovaryans Matrisi

DT 0,000054 -0,000027 -0,000003 -0,000004

HS -0,000027 0,005282 -0,000041 -0,000006

VM -0,000003 -0,000041 0,000162 0,000001

HB -0,000004 -0,000006 0,000001 0,000003

.RYDU\DQV PDWULVL \DUGÕPÕ\OD JHUoHNOHVHQ GH÷HUOHU NXOODQÕODUDN RSWLPDO SRUWI|\

YDU\DQVÕ YH VWDQGDUW VDSPDVÕ KHVDSODQPÕúWÕU %N] 7DEOR   9DU\DQV-Kovaryans

<|QWHPLLOH \DSÕODQLúOHPOHU JYHQLOLUOLNWH18SRUWI|\QYHKHUELUYDUOÕ÷ÕQ

JQONJQONYHLúJQONULVNHPDUX]GH÷HULKHVDSODQPÕúWÕU

Tablo 6. Varyans-Kovaryans Yöntemi øOH+HVDSODQDQ3RUWI|\Q50'¶VL Portfoy RMD

PD 1.357.037.718,46

Standart Sapma 0,007603131

*YHQ$UDOÕ÷Õ 99,50%

='H÷HUL 2,330

RMD (1 gün) 24.040.323,42 RMD (10 gün) 76.022.177,68 RMD (252 gün) 381.628.303,17

.DWVD\Õ 3

RMD/PD %2

6LJRUWD úLUNHWOHULQLQ VRQ EHú \ÕOOÕN PDOL \DWÕUÕPODUÕ ED] DOÕQDUDN ROXúWXUXODQ

SRUWI|\QGH÷HUL\ÕOÕPDOL\DWÕUÕPODUDJ|UHEHOLUOHQPLúWLU7/

SRUWI|\ GH÷HUL ELU \DWÕUÕPÕQ  JQON 50'¶VL  7/  JQON

RMD’si76.022.177,68 7/ YH  \ÕOOÕN 50'¶ VL LVH  RODUDN

KHVDSODQPÕú YH PDOL \DWÕUÕPODU LoLQ D\UÕOPDVÕ JHUHNHQ VHUPD\H WXWDUÕ +D]LQH

0VWHúDUOÕ÷Õ WDUDIÕQGDQ EHOLUOHQHQ  NDWVD\Õ RUDQÕ LOH oDUSÕOGÕ÷ÕQGD 

18JYHQLOLUOLNG]H\LLoLQVWDQGDUWQRUPDOGD÷ÕOÕPGH÷HUL 2,33’tür.

(11)

RODUDN EHOLUOHQPLúWLU %X VHUPD\H WXWDUÕ SRUWI|\Q LIODV ULVNLQH NDUúÕOÕN D\UÕOPDVÕ

JHUHNHQ VHUPD\H WXWDUÕ RODUDN EHOLUOHQPLú YH WRSODPGD SRUWI|\Q PDOL\HWL RODUDN

NDUúÕPÕ]DoÕNPDNWDGÕU7/RODQPDOL\DWÕUÕPODULoLQJQGHLIODV

HWPHRODVÕOÕ÷ÕRODUDNKHVDSODQPÕúWÕU

Bu uygulamadDLoLQPDOL\DWÕUÕPODUÕQWRSODPGH÷HULQHJ|UHHQID]ODND\ÕSJQON

RODUDNKHVDSODQÕUNHQJQONYH\ÕOOÕNND\ÕSLVHKHVDSODQPÕúWÕU

6WDQGDUW<|QWHPLOH+HVDSODQDQ5LVNH0DUX]'H÷HU$QDOL]L

6WDQGDUW\|QWHPGHSRUWI|\ROXúWXUDQYDUOÕNODUWHNLORODUDNGH÷HUOHQGLULOLU%|\OHFH

KDQJL YDUOÕ÷ÕQ GDKD ULVNOL ROGX÷X QHW ELU úHNLOGH J|UOU dDOÕúPDGD ROXúWXUXODQ

SRUWI|\Q ULVNH PDUX] GH÷HUL VWDQGDUW \|QWHP LOH KHVDSODQPDVÕ KDOLQGH SRUWI|\

ROXúWXUDQ KHU ELU YDUOÕN LoLQ JHoPLú ]DPDQ GH÷HUOerine göre belirlenen standart VDSPD LOH ULVNH PDUX] GH÷HU KHVDSODPDVÕ \DSÕOGÕNWDQ VRQUD EX GH÷HUOHULQ WRSODPÕ

DOÕQDUDNSRUWI|\QULVNHPDUX]GH÷HULEHOLUOHQLU

50' 3' ı Į 3'3RUWI|\'H÷HUL

ı: Risk faktörlerinin volatilitesi : Elde tutma süresinin karekökü Į: Güvenilirlik (%99,5)

<XNDUÕGDNLIRUPOLOHYDUOÕNODUÕQ50'KHVDSODPDVÕ\DSÕOGÕNWDQVRQUD

IRUPO\OHKHVDSODQÕU

(12)

Tablo 7. Standart Yöntem ile Hesaplanan PortföyRMD’si DEVLET

7$+9ø/ø

+ø66(

6(1('ø

+$=ø1(

BONOSU

9$'(/ø

MEVDUAT Portfolio VaR

PD 542.815.087,38 67.851.885,92 67.851.885,92 678.518.859,23 Standart

Sapma 0,0074 0,0727 0,0018 0,0127

Güvenilirlik 99,50% 99,50% 99,50% 99,50%

='H÷HUL 2,330 2,330 2,330 2,330

RMD (1

gün) 9.328.662,35 11.489.903,05 285.304,93 20.142.217,35 RMD (10

gün) 29.499.820,55 36.334.263,72 902.213,39 63.695.283,95 RMD (1

\ÕOOÕN 148.087.923,87 182.396.556,27 4.529.075,29 319.747.787,78

.DW6D\Õ 3 3 3 3

Sermaye

<HWHUOLOL÷L 444.263.771,60 547.189.668,82 13.587.225,88 959.243.363,35 RMD/PD 0,017185709 0,169338006 0,004204819 0,029685567 4.4. Varyans-.RYDU\DQV<|QWHPLLOH6WDQGDUW<|QWHPL.DUúÕODúWÕUÕOPDVÕ

6WDQGDUW \|QWHPGH SRUWI|\Q ULVNH PDUX] GH÷HUL GDKD \NVHN SRUWI|\ LoLQ

D\UÕOPDVÕ JHUHNHQ HNRQRPLN VHUPD\HGH ID]OD oÕNPÕúWÕU 9DU\DQV-Kovaryans

\|QWHPLQGH NRUHODV\RQ HWNLVL LOH ULVNH PDUX] GH÷HU GúN oÕNPÕúWÕU %X GXUXP

SRUWI|\ YDUOÕNODUÕQÕQ DUDVÕQGD GR÷UXVDO LOLúNL ROPDVÕ YH SRUWI|\Q QHJDWLI

NRUHODV\RQDVDKLSROPDVÕQGDQND\QDNODQÕU

7DEORøNL$\UÕ<|QWHPOH+HVDSODQDQ50')DUNÕQÕ*|VWHULU7DEOR TOPLAM

PORTFÖY RMD VARYANS-

KOVARYANS

RMD FARK

Portföy

'H÷HUL 1.357.037.718,46 TL

RMD (1 gün) 65.286.411 TL 24.040.323 TL -41.246.087 TL RMD (10 gün) 206.453.759 TL 76.022.177 TL -130.431.581 TL 50' \ÕOOÕN  1.036.389.646 TL 381.628.303 TL -654.761.343 TL

RMD/PV % 3,03 % 2

(13)

<XNDUÕGDNLWDEOR\DJ|UHVWDQGDUW\|QWHPLOHvaryans-NRYDU\DQV\|QWHPLDUDVÕQGDNL

IDUN DoÕNoD J|UOPHNWHGLU %X IDUN  JQON 50'¶GH-41.246.087 TL, 10 günlük RMD’de 130.431.581 7/  \ÕOOÕN 50'¶GH LVH-654.761.343 7/ KHVDSODQPÕúWÕU

$\UÕFDVWDQGDUW\|QWHPLOH\DSÕODQDQDOL]GHSRUWI|\QWRSODPJQONND\EÕ

seviyelerindeyken, varyans-NRYDU\DQV \|QWHPLQGH LVH  JQON ND\ÕS 

VHYL\HOHULQHLQPLúWLU

 6218dYH'(ö(5/(1'ø50(

6LJRUWD úLUNHWOHUL GH PDOL NDUOÕOÕNODUÕQÕ DUWÕUPDN YH NDUOÕOÕ÷Õ VUGUOHELOLU KDOH

getirmek için finansal piyasalarda süreNOLJHOLúPHND\GHGHUHNVD÷ODPELUPDOL\DSÕ

LOH XOXVODUDUDVÕ ]HPLQGH JYHQ LVWLNUDU YH úHIIDIOÕN DUD\ÕúÕ LoLQGH ROPDNWDGÕU %X

ED÷ODPGD SL\DVD ULVNOHUL \|QHWLPL oHUoHYHVLQGH ULVNOHUL WDQÕPDNWD GR÷UX ELOJLOHUOH

manipüle olmadan piyasa gözetimini daha etkLQ NÕOPD\D LoVHO RODUDN SL\DVD

GLVLSOLQLQL ROXúWXUPD\D GHYDP HWPHNWHGLU %XQXQ LoLQ VLJRUWD úLUNHWOHUL HWNLQ ELU

SL\DVD ULVNL \|QHWLPL LOH PDUX] NDOGÕNODUÕ ULVNOHUL WDQÕPODPDNWD ULVN \|QHWLP

VLVWHPLQL NXUPDNWD YH NDUDU DOPD PHNDQL]PDVÕQÕ EX VLVWHPH J|UH oDOÕúWÕUPDVÕ

gerekmektedir.

3L\DVDULVNOHULVLJRUWDúLUNHWOHULQLQNDUúÕNDUúÕ\DNDOGÕNODUÕHQ|QHPOLULVNWUOHULQLQ

EDúÕQGD JHOPHNWHGLU 3L\DVD ULVNOHULQLQ DUWPDVÕ SL\DVD GH÷LúNHQOHULQH G|YL] NXUX

R\QDNOÕ÷Õ IDL] RUDQODUÕQGDNL GH÷LúLNOLNOHU KLVVH VHQHGL IL\DWODUÕQGDNL GH÷LúLNOLNOHU

JD\ULPHQNXO GH÷HULQGHNL GH÷LúLNOLNOHU  ED÷OÕ NDOPDNWDGÕU %X ED÷ODPGD VLJRUWD

úLUNHWOHULQLQSL\DVDGH÷LúNHQOHULQHJ|UH\DWÕUÕPVWUDWHMLOHULQLEHOLUOHPHOLGLU

6LJRUWD úLUNHWOHULQLQ - \ÕOÕ ELODQoR G|QHPL LQFHOHQGL÷LQGe, piyasa ULVNOHULQLQ PDOL NDUOÕOÕ÷ÕQD HWNLVLQL SL\DVD GH÷LúNHQOHULQH ED÷OÕ RODUDN PDOL

\DWÕUÕPODUÕLOHELUOLNWHGH÷HUOHQGLULOPLúWLUøQFHOHQHQG|QHPGHVLJRUWDúLUNHWOHUL

RUDQÕQGDYDGHOLPHYGXDW\DWÕUÕPODUÕLOHHQoRNIDL]ULVNLQGHQHWNLOHQPHNWH\DEDQFÕ

SDUD FLQVLQGHQ DoÕN SR]LV\RQODUÕQÕQ E\N ELU NÕVPÕ UHDVUDQV DQODúPDODUÕQGDQ YH

G|YL]H ED]OÕ SROLoHOHUGHQ ND\QDNODQGÕ÷ÕQGDQ GROD\Õ  RUDQÕQGD NXU ULVNLQGHQ

HWNLOHQPHNWHGLU +LVVH VHQHGL ULVNLQGHQ \DWÕUÕP oRN GúN RUDQODUGD \DSÕOGÕ÷Õ LoLQ

PDOLNDUOÕOÕ÷DoRNE\NHWNLVLEXOXQPDPDNWDGÕU

8\JXODPDGDVLJRUWDúLUNHWOHULQLQHúLWJHWLUL\LVD÷OD\DFDNPLQLPXPULVNHVDKLSRODQ

YHID\GDIRQNVL\RQXGR÷UXOWXVXQGDEHOLUOHQPLúRODQSRUWI|\DGHWVHUPD\HDUDFÕQÕ

(devlet tahvili, hisse senedi, hazine bonosu ve vadeli mevduat) içermektedir.

3RUWI|\ ROXúWXUDQ ILQDQVDO YDUOÕNODUÕQ SL\DVDGDNL GH÷LúNHQOHUH J|UH ED] DOÕQDQ

zaman serilerinde risk-JHWLUL LNLOLVLQH J|UH DUDODUÕQGDNL NRUHODV\RQ ED] DOÕQDUDN

hesaplanan RMD ile (Varyans-.RYDU\DQV <|QWHPL  NRUHODV\RQ LOLúNLVL dikkate DOÕQPDGDQ KHVDSODQDQ 6WDQGDUW <|QWHP  SRUWI|\ DUDVÕQGD 1 günlük RMD’ de - 41.246.087,67 TL, 10 günlük RMD’ de 130.431.581,62 7/\ÕOOÕN50'¶GHLVH- 654.761.343,22 7/ KHVDSODQPÕúWÕU $\UÕFD VWDQGDUW \|QWHP LOH \DSÕODQ DQDOL]GH

portföyün toplam 1 JQON ND\EÕ  VHYL\HOHULQGH\NHQ YDU\DQV-kovaryans

\|QWHPLQGHLVHJQONND\ÕSVHYL\HOHULQHLQPLúWLU

(14)

$\UÕFD SRUWI|\ ROXúWXUDQ YDUOÕNODUÕQ ULVN D÷ÕUOÕNODUÕ vadeli mevduat portföy içerisinde % 50¶OLN D÷ÕUOÕ÷D VDKLSNHQ  JQON ND\ÕS-kazanç noktDVÕ % 0,03 KHVDSODQPÕúdevlet tahvili portföy içerisinde % 40¶OÕND÷ÕUOÕ÷DVDKLSNHQJQON

ND\ÕS-ND]DQo QRNWDVÕ % 0,017 RODUDN KHVDSODQPÕú hisse senedi portföy içerisinde

% 5¶OLN D÷ÕUOÕ÷D VDKLSNHQ  JQON ND\ÕS-ND]DQo QRNWDVÕ % 0,17 olarak KHVDSODQPÕúhazine bonosu portföy içerisinde % 5¶OLND÷ÕUOÕ÷DVDKLSNHQJQON

ND\ÕS-ND]DQo QRNWDVÕ % 0,004 RODUDN KHVDSODQPÕúWÕU %X GXUXPD J|UH YDGHOL

PHYGXDWYHGHYOHWWDKYLOOHULHQJYHQLOLU\DWÕUÕPDUDoODUÕROXúWXUXODQSRUWI|\QULVN

LúWDKÕQDHQX\JXQYDUOÕNNRQXPXQGDGÕUODU6LJRUWDúLUNHWOHULQLQQHGHQHQoRNYDGHOL

PHYGXDW YH GHYOHW WDKYLOLQLQ \DWÕUÕP DUDFÕ RODUDN NXOODQGÕNODUÕQÕQ NÕVPL J|VWHUJHVL

olarak gösterilebilir.

6LJRUWDúLUNHWOHULLoLQ-\ÕOÕG|QHPLQGH\DWÕUÕP\DSÕODQVHUPD\HDUDoODUÕQÕQ

QRUPDO GD÷ÕOÕPÕ J|UH ROXúWXUXODQ SRUWI|\Q JQON JHWLUL IL\DW VHULOHULQH J|UH

KHVDSODQDQ YRODWLOLWHQLQ QRUPDO GD÷ÕOÕPD X\JXQ VRQXo YHUGL÷L J|UOPHNWHGLU (OGH

HGLOHQ YRODWLOLWH LOH \DSÕODQ 50' KHVDSODPDVÕ VRQXFX VHUPD\H DUDoODUÕ DUDVÕQGaki LOLúNLND\QDNOÕNROHUDV\RQHWNLVLYHNRYDU\DQVVHULOHULQGHQGROD\ÕYDU\DQV-kovaryans

\|QWHPLQLQ VWDQGDUW \|QWHPGHQ  JYHQLOLUOL÷LQGH  Lú JQON HOGH

EXOXQGXUPD VUHVLQH J|UH GDKD D] PDOL\HWOL ROGX÷X YH GDKD D] SL\DVD ULVNL

EDUÕQGÕUGÕ÷Õ J|UOPúWU %X GD \DWÕUÕPODUÕQ ULVNLQL D]DOPDN LoLQ \DWÕUÕPODUÕ NHQGL

LoHULVLQGH GH÷HUOHQGLULOPHVLQLQ ULVNL GúUPHGL÷LQL YH NXUXODQ RSWLPDO SRUWI|\Q

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Crouyh, M., Galai, D., Mark, R., (2000), A Comparative Analysis of Current Market Risk Models, Journal of Banking&Finance 59, 218– 222.

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(16)

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Sevil, G.,(2011), “Finansal Risk Yönetimi Çerçevesinde Piyasa Volatilitesinin 7DKPLQLYH3RUWI|\9D5+HVDSODPDODUÕ´$QDGROXhQLYHUVLWHVL<D\ÕQODUÕ

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Aktif Pasif Yönetimi Üzerine Etkileri: Türkiye’de Ticari Bankalar Üzerine Bir 8\JXODPD%''..LWDSODUÕ-39.

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