türk bankacılık sstemnde aktf pasf yönetm ve pyasa rsk

1.2.1.2. Par Verim Eğrisi..........................................................................................................127
1.2.2. Verim Eğrisi Modelleri .......................................................................................................128
1.2.2.1. Nelson Siegel.................................................................................................................129
1.2.2.2. Cubic Spline .................................................................................................................131
1.2.2.3. Vasicek..........................................................................................................................132
1.3. Nakit Akım Mappingi.................................................................................................................133
2. Volatilite Hesaplama Yöntemleri ......................................................................................................138
2.1. Standart Sapma...........................................................................................................................139
2.2. Hareketli Ortalama.....................................................................................................................140
2.3. Yüzdelik (Percentile) Yöntemi ...................................................................................................140
2.4. Üssel Ağırlıklı Hareketli Ortalama (EWMA)...........................................................................141
2.5. GARCH........................................................................................................................................142
2.6. EGARCH (Exponential (Üssel) GARCH).................................................................................143
2.7. GJR ..............................................................................................................................................144
2.8. Çoklu GARCH ve Şartlı Dinamik Varyans Kovaryans Tahmini...........................................145
2.9. Volatilite Uygulaması..................................................................................................................147
3. RMD (Riske Maruz Değer) Hesaplama Yöntemleri........................................................................148
3.1. RMD Hesaplamasında Kullanılan Temel Parametreler..........................................................150
3.1.1. Güven Aralığı.......................................................................................................................150
3.1.2. Elde Tutma Süresi...............................................................................................................151
3.1.3. RMD’ye Esas Veri Setleri...................................................................................................152
3.2. Parametrik Yöntem ....................................................................................................................155
3.2.1. Temel Varsayımlar..............................................................................................................155
3.2.2. Portföyün Ortalama Getirisi ve Standart Sapmasının Tahmin Edilmesi ......................160
3.3. Tarihi Simülasyon Yöntemi .......................................................................................................166
3.4. Monte Carlo Simülasyonu..........................................................................................................170
3.5. RMD Hesaplama Yöntemlerinin Karşılaştırılması..................................................................173
3.6. Geriye Dönük Test (Back Test)..................................................................................................174
3.7. Stres Testi ....................................................................................................................................177
3.8. RMD Uygulaması........................................................................................................................179
SONUÇ ....................................................................................................................183
KAYNAKÇA ...........................................................................................................185
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