Risk analysis and a review on value at risk for BİST technology companies

Liberalization of capital movements as a result of globalization has accelerated capital's continuous search for profit. With the removal of the obstacles to capital, capital began to pursue investment opportunities where it could generate more profits. This situation causes the volatility of stocks traded in financial markets to increase. Especially for small investors, this means an increase in risk. Therefore, the need to measure risk has arisen. Value at risk approach has been introduced as a product of this need. Value at risk represents the biggest loss that can occur in the worst-case scenario. Value at risk (VaR) is a statistic that measures and quantifies the level of financial risk within a firm, portfolio or position over a specific time frame. This metric is most commonly used by investment and commercial banks to determine the extent and occurrence ratio of potential losses in their institutional portfolios. In this study, it is aimed to estimate the stock prices of technology companies traded in Borsa Istanbul using Monte Carlo Simulation, variance-covariance method and historical simulation method. As a result of the research, the value at risk of Portfolio A, consisting of NETAŞ, ESCOM and PLASTIKKART, was calculated as -6,165.40 TL according to the monte carlo simulation, -6,144.27 TL according to the variance-covariance method, and -9,218,81 TL according to the historical simulation method. The value at risk of Portfolio B consisting of KAREL, ASELSAN and ALCATEL is -5,020.03 TL according to Monte Carlo Simulation, -4.956.67 TL according to the variance-covariance method, at the end of the 10-day holding period at 99% confidence level, according to the historical simulation method. It was calculated as -6,015,93 TL according to The marginal value at risk for Portfolio A was calculated as -6,132.07 TL, and Portfolio B as -4,946.82 TL. It has been determined that ESCOM is the firm that increases the risk in the marginal value-at-risk for Portfolio A, and ALCATEL is the firm that increases the risk in the marginal value-at-risk for Portfolio B. When the results of all three methods are compared considering the values exposed to marginal risk, it is concluded that Portfolio A is more risky. Keywords: Risk, Value at Risk, Simulation, Monte Carlo Simulation.