Akademik Veri Yönetim Sistemi
RISK MANAGEMENT, STRATEGIC THINKING AND LEADERSHIP IN THE FINANCIAL SERVICES INDUSTRY: A PROACTIVE APPROACH TO STRATEGIC THINKING, ss.191-209, 2017 (SSCI)
This paper investigates the issue of market risk quantification for twelve emerging market equity portfolios during the FED tapering period. The performance of most popular VaR methods, namely Variance-Covariance, Classical and Weighted Historical Simulation Methods are compared. The results indicate that Classical and Weighted Historical Simulation outperform Variance-Covariance VaR. Kupiec back testing is supporting this argument. In the second stage of analysis, VaR performance of equally weighted equity index and US Government Bond portfolios are analysed. We obtain lower VaR values than equity portfolios. Russia, Turkey and Brazil are the worst performers out of 12 countries. The performance of portfolios are measured by Sharpe ratio and VaR adjusted Sharpe Ratios and found parallel rankings.