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Original Article

Ekonomik Yaklasim. 2004; 15(51): 72-92


English title is not available [PARAMETRİK RİSKE MARUZ DEĞER YÖNTEMİ İLE DÖVİZ KURU RİSKİ YÖNTEMİ: TÜRKİYE ÖRNEĞİ]

Erol BULUT, Z. Barış GÜL.

Abstract
Risk is a state, which is likely to emerge of loss or damage. Its management is very important in every part of our lives. Risk and its management have been seen as a key role in financial economics for the last two decades. Related to this, the notion of value at Risk (VaR), which measures the worst expected loss that an institution can suffer over a given time interval under normal market conditions ata given canfidence [evet, is ofimportance due to the measure and management of market risk. The goal of the study is to investigate the structure ofvolatility in Turkishforeign exchange market by using parametric VaR, by doing so, we use EWMA (Exponentially Weighted Moving Average) for the whole period 1990- 2003 and sub-periods including the term 1990-1993; 1994-1999; 2000-2003 for the Dotlar/TL and 1999-2003 for Euro/TL. Finally the paper focuses on the banking sector's risk management considering their FX positions.

Key words: na



Article Language: Turkish English



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