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Bankacılıkta Risk Yönetimi Ve Sermaye Yeterliliği Value At Risk Uygulamaları

Author

Listed:
  • Coşkun KÜÇÜKÖZMEN

    (T.C. Merkez Bankası)

Abstract

Value-At-Risk (VaR) son birkaç yıl içinde en çok kullanılan risk yönetim ve ölçüm araçlarından biri olmuştur. VaR modellerinin bu denli geniş ve çabuk bir kullanım alanı bulmasını başlıca iki nedene bağlayabiliriz: (1) tek bir rakamla tüm portföy riskini ifade edebilmesi ve (2) bu rakamın bankaların piyasa riskleri karşısında tutmaları gereken sermayenin hesaplanmasına esas teşkil edecek olmasıdır. Bu çalışmanın amacı VaR ve uygulanışı hakkında temel bilgiler vererek konuyu tanıtmaktır.

Suggested Citation

  • Coşkun KÜÇÜKÖZMEN, 1999. "Bankacılıkta Risk Yönetimi Ve Sermaye Yeterliliği Value At Risk Uygulamaları," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 14(156), pages 71-87.
    • Handle: RePEc:iif:iifjrn:v:14:y:1999:i:156:p:71-87
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