- Finans Ekonomi ve Sosyal Araştırmalar Dergisi
- Vol: 4 Issue: 4
- Historical Value At Risk As A Predictive Risk Method For The Investors: Causality Analysis Related T...
Historical Value At Risk As A Predictive Risk Method For The Investors: Causality Analysis Related To US Dollar Turkish Liras
Authors : Cantürk Kayahan, Merve Kilinç
Pages : 583-598
Doi:10.29106/fesa.610146
View : 7 | Download : 4
Publication Date : 2019-12-31
Article Type : Research
Abstract :There are numerous methods used in literature on predictive risks and benefits of investment instruments. Methods of value at risk are within the methods proposed by JP Morgan, as well. Value at risk makes a risk prediction according to three principles basically. Historical simulation method has been employed in this study. Average daily (purchase-sale) parities of the investment instruments between the years of 2008-2016 have been used in order to predict the risk status of the basic investment instruments used and accepted by all in Turkey. According to the findings, dollar has been determined to be the assets having the highest one-day risk. The high risk of the dollar drags investors to a large extent in profit or loss. Knowing the factors affecting the volatility of the dollar in order for investors to follow the course of the dollar carefully and reach the maximum earnings will have a great benefit in rational decisions. Afterwards Granger causality analysis was ,therefore, applied in this study. According to the results of the analysis, credit default swaps were placed on the top among the factors that could be accepted as a reason for dollar volatility.Keywords : Historical Simulation Method, Risk