Volatility based risk analysis and stress tests in financial markets: The case of İstanbul Stock Exchange

The financial crisis that have been existed in 1970?s and the inadequacy of Keynesian social welfare economics in these crisis, shaked the confidence of those politics. In 1980?s, protectionist Keynesian policies was abdicated and it is aimed to reconstruct world economies with liberal policies on the focus of growing up financial markets.In accordance of these purposes, the 1980?s, which is called as neo-liberalism era, have been a transition phase for economies to adopt the new liberal policies. Liberalizing foreign trade, interest rates and capital accounts are the most characteristic features of this period.In 1990?s, with the effect of globalization and informatics revaluation, the liberalization policies and financial transactions have picked up. But this ascending economic freedom has also increased the ambiguities, risks and volatilities on financial markets. The financial failures and crisis that have led in this period caused to reexamine the neo-liberal politics.Because of the ascending financial risks, it is needed to analyze and manage those risks. At the present day, advanced mathematical and econometric methods are used to analyze risks. However, stress tests are one of the risk analyzing methods that used for to reseach the effects of abnormal events on financial markets and gained ground in last periods.With the last 2007-2009 global financial crisis, it is understood that financial risks are more harmful than they were supposed. Hence, the need for analyzing and managing financial risks will be ever more in the next periods. On the account of currency and import of this topic, in this thesis, financial risks are investigated theoretically and empirically with the risk analyzing methods and stress tests on the basis of volatilities.Key Words: Liberalizm, Volatility, Financial Risk Analysis and Management, Stress Tests.