RISK EXPOSURE VALUE: AN APPLICATION ON DERIVATIVES

Abstract

In recent years, the importance of managing market risks has been increasing in order to control the effects of market volatility in financial institutions. Risk exposure value (VaR), an approach of risk management, is adopted by both practitioners and supervisory agencies. Traditionally, banks, free funds, pension funds, mutual funds and investment trusts use Riske Exposure Value to measure market risk and investment performance. The purpose of this article is to provide information about the VaR, which is the version used in the finance field in general, to explain the derivative products that have an important role in the finance field and to show the VaR's possibilities with the calculations on the assets traded on the Futures and Options Exchange. In this article, risk concept and risk management are examined. RISK The general and basic information about the Exposure Value has been transferred. The riskier concept in terms of risk and risk management has been applied on EUR / TL, USD / TL and Gold contract prices traded on VOB. When the investment portfolio was created as a result of the study, it was determined that the most risk reduction was achieved.