Hisse senedi ve emtia içeren portföylerin risk ölçümü

In this study, we used copula method in order to model the multivariate return distributions of stock portfolios and, in this manner, to implement this model for risk measure evaluations in practice. Copulas are used to describe the dependence between random variables thus, are enjoyed to model the marginals separately and to represent the dependence structure between them. We also modeled the multivariate return distributions of stock portfolios diversified with commodities, precious metals, crude oil etc. and tted a set of copulasto the joint return data. With this aim, we selected 20 stocks from New York Stock Exchange, gold and crude oil and constructed stock portfolios, stock portfolios with gold, stock portfolios with crude oil and stock portfolios with gold and crude oil inorder to analyze whether the copula method fits the multivariate return distributions of selected portfolios. In order to check the validity of the models, we implemented daily and weeklyback testing using 20 different alpha values. We found that t distribution and generalized hyperbolic distributions are very nice models for modeling individual financial instruments returns and the t copula is the best copula to represent the dependence structure between financial instruments returns. We used this model to calculate the risks of portfolios and observed that adding gold decreases the risk of portfolios wherecrude oil behaves like an ordinary stock.