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Bireysel Emeklilik Fonlarinda Risk Yönetimi Ve Riske Maruz Deger Analizi

  • Mert URAL

    ()

    (Dokuz Eylül Üniversitesi Iktisadi ve Idari Bilimler Fakültesi Ýktisat Bölümü)

  • Türker ADAKALE

    ()

    (Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Ýktisat Anabilim Dali, Para ve Banka Programi)

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    Sosyal güvenlik sisteminin emeklilik ayaginda yasanan finansman güclüklerini gidermek amaciyla gelistirilen bireysel emeklilik sistemi, 20. yüzyilda bircok ülke tarafindan benimsenmistir. Türkiye’de yeni olan bireysel emeklilik sistemine iliskin ayrintili yorum yapilabilmesi icin sistemde yer alan fonlara ve sirketlere ait risk analizlerinin yapilmasi gereklidir. Calismada, öncelikle bireysel yatirimcinin bir sirketin farkli tipteki fonlarinin tümünden olusturdugu hipotetik portföye; daha sonra ise, farkli sirketlerde ancak ayni tipteki fonlara yatirim yaptigi hipotetik portföye göre karsilasabilecegi kayiplar Riske Maruz Deger (RMD) yöntemi ile analiz edilmistir. Analizde toplam 11 sirket ve bu sirketlere ait toplam 98 adet fonun 2007 yili günlük kapanis fiyatlari dikkate alinmistir. Ayrica, sirket portföyü icinde yer alan her bir fonun toplam risk icindeki payini gösteren Marjinal RMD degerleri de hesaplanmistir. Sonucta, hisse senedi fonlarinin toplam riski en fazla artiran; buna karsin, kamu borclanma araci fonlarinin ise toplam riski en az artiran fonlar oldugu anlasilmistir.

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    Article provided by Ege University Faculty of Economics and Administrative Sciences in its journal Ege Academic Review.

    Volume (Year): 9 (2009)
    Issue (Month): 4 ()
    Pages: 1463-1483

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    Handle: RePEc:ege:journl:v:9:y:2009:i:4:p:1463-1483
    Contact details of provider: Web page: http://iibf.ege.edu.tr/ENG/

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