The use of futures contracts against to currency risk measured by value at risk (VAR) in real sector

The progress and change in the International Financial System affect directly both thefinancial institutions and the firms in the real sector. Exchange rates which are affected in thisperiod is one of the most important risk sources. Thus, for the financial markets, the mostimportant problem is the uncertainty of the future. The way to tackle this uncertainty dependson the correct estimation of exchange rates and the correct measurement of the risk levelwhich is faced. VAR Method, used particularly after 1990?s and very revolutionary on therisk management, is one of the most important financial risk measurement tools today. In thisstudy, the exchange portfolio risk of Altinyildiz Inc. which is one of the firms recorded to theIstanbul Stock Exchange (ISE) is calculated depending on its publicized financial data forDecember 2005 using Parametric VAR and Historical VAR Methods. Futures contracts aresuggested for protection against the calculated risk levels, so the protection of the firm isprovided against the possible future unexpected financial changes. As a result of all thecalculations and evaluations, it is determined that futures contracts that are used against theexchange risks have positive effects on the financial position of the firm.