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文章基本信息

  • 标题:Financial Risk Measurement for Turkish Insurance Companies Using VaR Models
  • 本地全文:下载
  • 作者:Ismail Yildirim
  • 期刊名称:Journal of Financial Risk Management
  • 印刷版ISSN:2167-9533
  • 电子版ISSN:2167-9541
  • 出版年度:2015
  • 卷号:04
  • 期号:03
  • 页码:158-167
  • DOI:10.4236/jfrm.2015.43013
  • 语种:English
  • 出版社:Scientific Research Publishing
  • 摘要:This study aims to measure the foreign exchange risks that the insurance companies are exposed to. In this context, this study analyzes 7 insurance companies listed in Borsa Istanbul (Istanbul Stock Exchange). The foreign exchange risks that the insurance companies are exposed to were measured using VaR models, Historical Simulation and Monte Carlo Simulation methods. Data obtained from the analysis show the losses that the insurance companies suffer due to exchange risk. The losses calculated using the Monte Carlo Simulation were found to be greater than the losses calculated using Historical Simulation.
  • 关键词:Insurance;Financial Risk;Foreign Exchange Risk;VaR
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