25th Eurasia Business and Economics Society (EBES) Conference, Berlin, Germany, 23 - 25 May 2018, vol.1, pp.445-461
This preliminary study providing a concise evaluation aims to assess the risk analysis of Sukuk certificates traded at Turkish capital market on the basis of Value at Risk approach. In accordance with this purpose, the emergence and development processes of the Sukuk market in Turkey are investigated. In the scope of the analysis, lease certificates issued by the Treasury are taken into consideration and the risk values are calculated using the variance-covariance method, historical simulation method and Monte-Carlo simulation method for the range of 1 - 10 days with a 99 % confidence
level. Lease certificates issued by the asset lease joint stock companies of participation banks or other private sector are excluded from the scope of the study since they are both inadequate in the secondary market and their maturity is much shorter than the length of time required for the analysis.
As a result of the analysis, the variance-covariance method shows that the values at risk are 0.41% and 1.3% as of the amount invested in equal weighted Sukuk certificates portfolio for the 1 and 10-day value at risk respectively. Historical simulation method compared to the variance-covariance method for the same portfolio indicates higher rates of value at risk with a 0.9 % and 2.7% risk level of the investment amount for 1 to 10-day value at risk calculation. In addition to these results, compared to variance-covariance method Monte-Carlo simulation approach for single iteration presents similar risk values (from 0.1% to 1.2% for from 1 to 10-day value-at-risk) and on the average 1.27 percentage loss of investment amount after a thousand replications.