KONUT FİNANSMANINDA YAPI TASARRUFU YÖNTEMİ, RİSK MODELLERİ VE VASİCEK KISA VADELİ FAİZ ORANI MODELİ İLE AMPİRİK BİR UYGULAMA

Year 2020, Volume: 19 Issue: Temmuz 2020(Özel Ek) - Prof. Dr. Sabri ORMAN Özel Sayısı, 310 - 334, 31.07.2020

İlker Koç , Elçin Aykaç Alp

Abstract

Yapı tasarrufu (YT) sistemi, hane halklarının konut kredisi elde edebilmek için belirli bir süre birikim yapmasına dayanan, dünyanın birçok ülkesinde uzun zamandır uygulanan alternatif bir konut finansman yöntemidir. Bu çalışmada YT sistemi ve risk modelleri incelenerek, söz konusu modellerin ülkemiz koşullarına uygunluğun araştırılması amaçlanmıştır. Bu amaçla, Vasicek modeli maksimum olabilirlik yöntemi ile tahmin edilmiş, ayrıca R programlama dili kullanılarak Monte Carlo simülasyonu yapılmıştır. Elde edilen sonuçların gerçek piyasa verileri ile uyumlu olduğu gözlemlenmiş ve modelin ülkemizde uygulanacak YT sistemi risk yönetim çalışmalarında dikkate alınabileceği sonucuna ulaşılmıştır.

Keywords

Yapı Tasarrufu Sistemi, Vasicek Kısa Vadeli Faiz Oranı Modeli, Maksimum Olabilirlik, Monte Carlo Simülasyonu

CONTRACTUAL SAVINGS FOR HOUSING FINANCE METHOD, RISK MODELS AND AN EMPIRICAL ANALYSIS USING VASICEK INTEREST RATE MODEL

Abstract

Contractual savings for housing (CSH) system is an alternative housing finance method which households were granted housing loans after a certain saving period of time. In this study, the risk structure of the CSH system was examined and CSH pricing model has been analyzed by using Turkish capital market data and Vasicek model. In the analysis, Vasicek parameters are estimated by Maximum Likelihood method and Monte Carlo simulation was performed using R programming language. The result indicated that simulated rates are consistent with actual market data and the model can be taken into account in implementing CSH risk management frameworks.

Keywords

Contractual Savings for Housing, Vasicek Interest Rate Model, Maximum Likelihood, Monte Carlo Simulation

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