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Avrasya Ekonometri �statistik ve Ampirik Ekonomi DergisiYl:2018 Say: 10 Alan: Ekonometri

Nurkhodzha Akbulaev, Besti Aliyeva
RSKE MARUZ DEER: TREV RNLER ZERNE BR UYGULAMA
 
Son yllarda, finansal kurumlarda piyasa oynaklklarnn etkilerini kontrol etmek amacyla, piyasa risklerinin ynetiminin nemi artmaktadr. Risk ynetiminin bir yaklam olan Riske Maruz Deer (RMD) hem uygulayclar hem de denetleyici kurumlar tarafndan benimsenmektedir. Geleneksel olarak bankalar, serbest fonlar, emeklilik fonlar, yatrm fonlar ve yatrm ortaklklar Riske Maruz Deer`i piyasa riskini ve yatrm performansn lmek amacyla kullanmaktadrlar. Bu makalenin amac genel olarak riskin finans alannda kullanlan versiyonu olan RMD hakknda bilgi vermek, finans alannda nemli role sahip olan trev rnleri aklamak ve RMD`nin olanaklarn Vadeli lemler ve Opsiyon Borsasnda ilem gren varlklar zerindeki hesaplamalarla gstermektir. Bu makalede risk kavram ve risk ynetimi incelenmitir. Riske Maruz Deer hakknda genel ve temel bilgiler aktarlmtr. Risk kavram ve risk ynetimi asndan riske maruz deer VOBda ilem gren EURO/TL, USD/TL ve Altn szleme fiyatlar zerinde uygulamas yaplmtr. almann sonucunda yatrm portfy oluturulduu zaman riski en aza indirme sz konusu olduu tespit edilmitir.

Anahtar Kelimeler: Finans, Finansal Varlk, Riske Maruz Deer, Risk Ynetimi


RISK EXPOSURE VALUE: AN APPLICATION ON DERIVATIVES
 
In recent years, the importance of managing market risks has been increasing in order to control the effects of market volatility in financial institutions. Risk exposure value (VaR), an approach of risk management, is adopted by both practitioners and supervisory agencies. Traditionally, banks, free funds, pension funds, mutual funds and investment trusts use Riske Exposure Value to measure market risk and investment performance. The purpose of this article is to provide information about the VaR, which is the version used in the finance field in general, to explain the derivative products that have an important role in the finance field and to show the VaR's possibilities with the calculations on the assets traded on the Futures and Options Exchange. In this article, risk concept and risk management are examined. RISK The general and basic information about the Exposure Value has been transferred. The riskier concept in terms of risk and risk management has been applied on EUR / TL, USD / TL and Gold contract prices traded on VOB. When the investment portfolio was created as a result of the study, it was determined that the most risk reduction was achieved.

Keywords: Finance, Financial Asset, Riske Value of Exposure, Risk Management.


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