RİSK ÖLÇÜMÜNDE ALTERNATİF YAKLAŞIMLAR: RİSKE MARUZ DEĞER (VaR) ve BEKLENEN KAYIP (ES) UYGULAMALARI

Bu çalışma, uygulamadaki en yeni risk ölçüm tekniği olan Riske Maruz Değer (VaR), şişman kuyruk özelliğine sahip portföy verileri için kullanıldığında pozitif bir sapma göstermektedir. Yöntemin nasıl kullanıldığını açıkça göstermek için, Amerikan Doları/Euro günlük fiyatları ve ISE-100 Endeksi finansal serilerden yararlanılmıştır. Çalışmada VaR yöntemine uygun bir alternatif olarak tutarlı bir risk ölçüm aracı olarak Beklenen Kayıp (ES) ve geleneksel VaR yöntemleri tanımlanmıştır. VaR ve ES yöntemlerinin özellikleri tartışılmakta ve söz konusu yöntemler kuyruk riski ( istatistiki dağılım yapısına bağlı risk), güçlü yönler ve zayıf yönlerin vurgulanması suretiyle karşılaştırılmaktadır. ES yönteminin kuyruk riski taşımaması ve VaR yöntemine göre tutarlı olması dolayısıyla daha uygulanabilir olduğu sonucuna ulaşılmıştır.

Anahtar Kelimeler:

Riske maruz değer, beklenen kayıp, riske maruz değer, tutarlı risk ölçümü

This article shows that Value-at-Risk (VaR), the most popular risk measure in practice, has a considerable positive bias when used for a portfolio with fat-tail distribution. Numerical examples, i.e. USD/Euro daily prices and ISE-100 Index monthly returns, are given to demonstrate the use of our method. In the search for a suitable alternative to VaR, Expected Shortfall (ES) or conditional VaR has been characterized as the coherent risk measure to dominate VaR. We discuss properties of VaR and ES and compare them in terms of consistency with elimination of tail risk, strengths and weaknesses. We conclude that ES is more applicable than VaR since ES is free of tail risk and consistent under more lenient conditions than VaR is.

Keywords:

Value-at-Risk, Expected Shortfall, tail risk, coherent risk measure,

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