Tarihi Simülasyon ve Filtrelenmiş Tarihi Simülasyon Modellerinin Piyasa Riski Ölçüm Performanslarının İncelenmesi: Küresel Finans Krizi Dönemine Dayalı Bir Analiz

Bu çalışmada Tarihi Simülasyon ve Filtrelenmiş Tarihi Simülasyon modellerinin 2007-2008 küresel finans krizinin ABD merkezli döneminde, Türk finans piyasalarında oluşan piyasa riskini öngörme performansları incelenmiştir. Hisse senedi piyasalarını temsilen BIST100 endeksi, döviz piyasasını temsilen Dolar-TL ve Euro-TL kurları, faiz piyasasını temsilen ise gösterge tahvil faizi kullanılmıştır. FHS ve HS modellerinin örneklem-dışı öngörü performanslarının analizinde Kupiec (1995) ve Christoffersen (1999) geriye dönük test istatistiklerinden yararlanılmıştır. Çalışmada hem aşağı hem de yukarı yönlü piyasa riski dikkate alınmış ve risk yönetimi açısından güncel gelişmeler kapsamında önemi artan Beklenen kayıp değerleri (Expected Shortfall, ES) de hesaplanmıştır. Çalışma bulguları FHS modelinin küresel finans krizi döneminde, ilgili finansal varlıklar için oldukça başarılı bir performans sergilediğine işaret etmektedir. HS modelinin ise çoğu durumda piyasa riskini olduğundan yüksek veya düşük ölçmesi nedeniyle performansının oldukça yetersiz kaldığı anlaşılmaktadır.

Examining The Market Risk Measurement Performance of Historical Simulation And Filtered Historical Simulation Models: An Analysis Based on The Recent Global Financial Crisis Period

This study examines the market risk forecasting performances of historical and filtered historical simulation models for Turkish financial markets during the US-centric period of 2007-2008 global financial crisis. As a representatives of stock, foreign exchange and interest rate markets, BIST100 stock index, USD/TRY and EUR/TRY exchange rates and benchmark government bond interest rates are used, respectively. Kupiec (1995) and Christoffersen (1999) backtests are employed to analyze the out-of-sample market risk forecating performance of HS and FHS models. The expected shortfall is also calculated in all cases, and all analysis are conducted by considering both upside and downside market risk. The findings of the study show that during the US-centric period of 2007-2008 global financial crisis the FHS model performes quite well for all the financial variables under the study; The HS model, on the other hand, exhibits a very poor performance due to the fact that it either underestimates or overestimates the true market risk in most cases.

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