Historical Value At Risk As A Predictive Risk Method For The Investors: Causality Analysis Related To US Dollar Turkish Liras

Cantürk KAYAHAN; Merve KILINÇ

Makale detayları

Historical Value At Risk As A Predictive Risk Method For The Investors: Causality Analysis Related To US Dollar Turkish Liras

Yazarlar:

Cantürk KAYAHAN | Merve KILINÇ

Yayıncı:

Ferudun KAYA

Ana Başlıklar:

Yönetim

Dergi:

Research of Financial Economic and Social Studies 2019 Vol.4 Issue 4, pp.583-598

Belge Tipi:

Makale

Yayın Tarihi:

12/2019

Belge Dili:

İngilizce

Document ID (Org No.):

2000435311

eISSN:

2602-2486

Özet:

 


There
are numerous methods used in literature on predictive risks and benefits of
investment instruments. Methods of value at risk are within the methods
proposed by JP Morgan, as well. Value at risk makes a risk prediction according
to three principles basically. Historical simulation method has been employed
in this study.



 

 Average daily (purchase-sale) parities of the
investment instruments between the years of 2008-2016 have been used in order
to predict the risk status of the basic investment instruments used and
accepted by all in Turkey. According to the findings, dollar has been
determined to be the assets having the highest one-day risk. The high risk of
the dollar drags investors to a large extent in profit or loss. Knowing the
factors affecting the volatility of the dollar in order for investors to follow
the course of the dollar carefully and reach the maximum earnings will have a
great benefit in rational decisions. 



 

Afterwards
Granger causality analysis was ,therefore, applied in this study. According to
the results of the analysis, credit default swaps were placed on the top among
the factors that could be accepted as a reason for dollar volatility. 


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Makale detayları

Historical Value At Risk As A Predictive Risk Method For The Investors: Causality Analysis Related To US Dollar Turkish Liras

Yazarlar: Cantürk KAYAHAN | Merve KILINÇ

Yayıncı: Ferudun KAYA

Ana Başlıklar: Yönetim

Dergi: Research of Financial Economic and Social Studies 2019 Vol.4 Issue 4, pp.583-598

Belge Tipi: Makale

Yayın Tarihi: 12/2019

Belge Dili: İngilizce

Document ID (Org No.): 2000435311

eISSN: 2602-2486

Sayı

Yazarlar:

Cantürk KAYAHAN | Merve KILINÇ

Yayıncı:

Ferudun KAYA

Ana Başlıklar:

Yönetim

Dergi:

Research of Financial Economic and Social Studies 2019 Vol.4 Issue 4, pp.583-598

Belge Tipi:

Makale

Yayın Tarihi:

12/2019

Belge Dili:

İngilizce

Document ID (Org No.):

2000435311

eISSN:

2602-2486