An application based on sports clubs traded at BIST through value at risk methods

For stock investors, one of the most sensitive points with the expected return is to predict the biggest financial loss that the created portfolio can cause to the investor. The study of the value at risk calculation method, variance-covariance, using historical simulation methods and monte carlo methods stocks in Turkey BIST 'in process was investigated portfolio of shares who created sports club. As a result of the analysis, the method that made the lowest estimation was Monte Carlo Simulation methods. Variance-Covariance method is based on the assumption of normality, operations are done compared to it. Since the simulation method and monte carlo methods does not require constraints such as normality and fixed variance, such an assumption was not required. In the research, the volatility structure of the portfolios was investigated by the EWMA method and the ARCH-GARCH method. As a result, the most effective estimate has made the Monte Carlo method. Keywords:ARCH, EWMA, GARCH, Monte Carlo Simulation, Retrospective Tests, Value at Risk, Historical Simulation, Variance-Covariance