Author/Authors
AVŞARLIGİL, Nuri Pamukkale Üniversitesi - Çivril Atasay Kamer Meslek Yüksekokulu, Turkey , DEMİR, Yusuf Süleyman Demirel Üniversitesi - İ İ B F - İşletme Bölümü, Turkey , DOĞRU, Ercüment Mehmet Akif Ersoy Üniversitesi - Ağlasun Meslek Yüksekokulu, Turkey
Title Of Article
An Application Based on Sports Clubs Traded at BIST through Value at Risk Methods
شماره ركورد
16116
Abstract
In terms of stock investors, with the expected return, one of the most sensitive point is to predict the greatest financial losses which a portfolio could give investor. In this study, using value at risk calculation methods such as Var, Historical Simulation and EWMA method two different virtual portfolios formed from the sports clubs stocks which are traded at BIST in Turkey, have been studied. Although, at the result of the analysis Historical Simulation method had the lowest estimate, at the result of the retrospective tests its effectiveness was lower. According to the retrospective test results, maximum efficiency has emerged in the Var. Var method requires the assumption of normality assumption so calculations have been made under this assumption.As the other two methods do not require normality and constant varience constraints, there was no need such an assumption. As a result, under the assumption of constant variance and normal distribution, Var method has the most effective estimate.
From Page
81
NaturalLanguageKeyword
Value at risk , EWMA , Variance , Covariance Method , Historical simulation , Back testing
JournalTitle
Journal Of Social Sciences, Eskişehir Osmangazi University
To Page
107
JournalTitle
Journal Of Social Sciences, Eskişehir Osmangazi University
Link To Document