{"id":2775,"date":"2014-08-05T14:22:32","date_gmt":"2014-08-05T11:22:32","guid":{"rendered":"http:\/\/www.berjournal.com\/?p=2775"},"modified":"2014-08-05T16:59:30","modified_gmt":"2014-08-05T13:59:30","slug":"bankalarin-sermaye-yeterliligi-orani-acisindan-riske-maruz-deger-hesaplama-yontemlerinin-karsilastirilmasi","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/bankalarin-sermaye-yeterliligi-orani-acisindan-riske-maruz-deger-hesaplama-yontemlerinin-karsilastirilmasi","title":{"rendered":"Bankalar\u0131n Sermaye Yeterlili\u011fi Oran\u0131 A\u00e7\u0131s\u0131ndan Riske Maruz De\u011fer Hesaplama Y\u00f6ntemlerinin Kar\u015f\u0131la\u015ft\u0131r\u0131lmas\u0131"},"content":{"rendered":"\n\n\n\n
Makale Bilgileri<\/td>\n<\/tr>\n
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Dergi:<\/td>\n\u0130\u015fletme ve Ekonomi Ara\u015ft\u0131rmalar\u0131 Dergisi<\/td>\n<\/tr>\n
Makalenin Ba\u015fl\u0131\u011f\u0131:<\/td>\nBankalar\u0131n Sermaye Yeterlili\u011fi Oran\u0131 A\u00e7\u0131s\u0131ndan Riske Maruz De\u011fer Hesaplama Y\u00f6ntemlerinin Kar\u015f\u0131la\u015ft\u0131r\u0131lmas\u0131<\/td>\n<\/tr>\n
Yazar(lar):<\/td>\nAhmet Bostanc\u0131,\u00a0Turhan Korkmaz<\/td>\n<\/tr>\n
Cilt:<\/td>\n5<\/td>\n<\/tr>\n
Say\u0131:<\/td>\n3<\/td>\n<\/tr>\n
Y\u0131l:<\/td>\n2014<\/td>\n<\/tr>\n
Sayfa:<\/td>\n15-41<\/td>\n<\/tr>\n
ISSN:<\/td>\n1309-2448<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
\u00d6zet<\/td>\n<\/tr>\n
Geli\u015fmi\u015f bir RMD modeli kullanan bir bankan\u0131n daha basit RMD modeli kullanma durumuna g\u00f6re g\u00f6receli olarak risklerini daha iyi \u00f6l\u00e7t\u00fc\u011f\u00fc i\u00e7in daha d\u00fc\u015f\u00fck bir piyasa riskine esas tutar (PRET) tutmas\u0131 gerekti\u011fi beklenmektedir. Bu \u00e7al\u0131\u015fman\u0131n amac\u0131, riskleri daha iyi \u00f6l\u00e7ebilen geli\u015fmi\u015f RMD modelleri daha d\u00fc\u015f\u00fck bir PRET\u2019i sa\u011flayaca\u011f\u0131 hipotezinin test edilmesidir. \u00c7al\u0131\u015fmada RMD hesaplama y\u00f6ntemlerinden tarihi volatilite, tarihi sim\u00fclasyon, EWMA, GARCH (1,1), GARCH (1,1)-Bootstrap ve GARCH (1,1)-GED modelleri kullan\u0131lm\u0131\u015ft\u0131r. Elde edilen RMD sonu\u00e7lar\u0131 geriye d\u00f6n\u00fck test i\u015flemine tabi tutulmu\u015ftur. Bu i\u015flem sonucu \u00e7arp\u0131m fakt\u00f6r\u00fc (h) (veya model g\u00fcvenlik \u00e7arpan\u0131) belirlenip PRET sim\u00fcle edilmi\u015ftir. Ger\u00e7ek veriler i\u00e7in sonu\u00e7lar yorumland\u0131ktan sonra ayn\u0131 s\u00fcre\u00e7 alt\u0131 tane farkl\u0131 \u00f6zelli\u011fe sahip rassal olarak \u00fcretilmi\u015f veri seti i\u00e7in tekrarlan\u0131p sonu\u00e7lar\u0131n tutarl\u0131l\u0131\u011f\u0131 s\u0131nanm\u0131\u015ft\u0131r. Elde edilen bulgulara g\u00f6re, GARCH (1,1)-Bootstrap ve GARCH (1,1)-GED modelleri gibi geli\u015fmi\u015f RMD modellerinin daha d\u00fc\u015f\u00fck PRET\u2019i sa\u011flayaca\u011f\u0131 hipotezi do\u011frulanmam\u0131\u015ft\u0131r.<\/td>\n<\/tr>\n
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Anahtar Kelimeler:<\/td>\nBasel II, geriye d\u00f6n\u00fck test, riske maruz me\u011fer, sermaye yeterlilik oran\u0131, piyasa riskine esas tutar<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
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JEL S\u0131n\u0131fland\u0131rmas\u0131:<\/td>\nG17, G21, G32, G38<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

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Makale Bilgileri Dergi: \u0130\u015fletme ve Ekonomi Ara\u015ft\u0131rmalar\u0131 Dergisi Makalenin Ba\u015fl\u0131\u011f\u0131: Bankalar\u0131n Sermaye Yeterlili\u011fi Oran\u0131 A\u00e7\u0131s\u0131ndan Riske Maruz De\u011fer Hesaplama Y\u00f6ntemlerinin Kar\u015f\u0131la\u015ft\u0131r\u0131lmas\u0131 Yazar(lar): Ahmet Bostanc\u0131,\u00a0Turhan Korkmaz Cilt: 5 Say\u0131: 3 Y\u0131l: 2014 Sayfa: 15-41 ISSN: 1309-2448 \u00d6zet Geli\u015fmi\u015f bir RMD modeli kullanan bir bankan\u0131n daha basit RMD modeli kullanma durumuna g\u00f6re g\u00f6receli olarak risklerini daha iyi […]<\/p>\n

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