Akademik Veri Yönetim Sistemi
25th Eurasia-Business-and-Economics-Society (EBES) Conference, Berlin, Almanya, 23 - 25 Mayıs 2018, cilt.12, ss.211-226, (Tam Metin Bildiri)
The risk management is an important concept due to the volatility and the market risks. Investors want to know the level of risk while they are making investment decisions. To that end, this chapter aims at assessing the risk associated with the lease certificates (Sukuk) traded in the Turkish capital market on the basis of Value at Risk (VaR) and Conditional Value at Risk (CVaR) methods. In accordance with this purpose, the research investigates the emergence and development of the Sukuk market in Turkey and the lease certificates issued by the Ministry of Treasury and Finance. Values at risk were calculated using the aforementioned methods for one million Turkish Lira investments into the Sukuk portfolio at 1-10-day horizons and at a confidence interval of 99%. Consequently, the VaR amount, the minimum expected loss, is 444.8 Turkish Lira, which is approximately 0.044% of the investment on average during the sample holding period at the 99% confidence level. At the same confidence level and for the equivalent holding period, the CVaR proves a little higher risk percentage, which is 0.051% of loss or 518.8 Turkish Lira on average.