MONTE CARLO SİMULASYON YÖNTEMİ İLE RİSKE MARUZ DEĞERİN İMKB30 ENDEKSİ VE DİBS PORTFÖYÜ ÜZERİNDE BİR UYGULAMASI

摘要: As a result of the rapid development information technologies and globalization, growing trading volumes variety securities have increased exposure economic units on risk. Therefore, topics with respect to risk management drawn substantial attention from both in academic practitioners. In recent years , Value at Risk “VaR” approach, one methods used for evaluating has gained widespread acceptance. first part this study types definition historical Approach its differences among these are explained. At next section VaR’s portfolios ISE 30 index goverment estimated %99 %95 confidence level 1 day 10-day periods by Monte Carlo simulation method which is nonparametric estimation approaches VaR. For each portfolio, simulations performed based normal Student–t distributions results compared. last section, evaluated as whole emprical commented.