Risk Measures and Risk Capital Allocation

Yıl 2012, Cilt: 5 Sayı: 2, 32 - 42, 01.06.2012

Uğur Karabey

Öz

The fundamental problem of the portfolio/risk management is the measurementm and the allocation of risk. Various risk measures provide a solution to the former problem. However, in the recent decade’s risk measures have been criticised dramatically and a new concept so called ’coherent risk measures’ have been arisen. In the meantime allocation distributes the diversification benefits among the constituents of the portfolio. We show that risk allocation can provide a better risk management if one pays the necessary attention for the choice of the risk measure and the allocation method.

Anahtar Kelimeler

risk capital allocation, risk measures, Black-Scholes model

Risk Ölçümleri ve Risk Sermayesi Dağıtımı

Öz

Risk Ölçümleri ve Risk Sermayesi Dağıtımı Riskin ölçülmesi ve dağıtılması portföy/risk yönetiminde karsılasılan temel sorunlardır. Birçok risk ölçümü risklerin ölçülmesi için çözümler sunar. Fakat son yıllarda risk ölçümleri önemli ölçüde elestirilmis ve ortaya tutarlı risk ölçümleri olarak adlandırılan yeni bir yaklasım çıkmıstır. Aynı zamanda risk dağıtımı çesitlendirmeden kaynaklanan faydaların portföyü olusturan birimlere dağıtımını yapar. Bu çalısmada risk ölçüm ve risk dağıtım yöntemlerini doğru seçen yöneticilerin daha iyi bir risk yönetimi sağlayabileceğini gösterdik

Anahtar Kelimeler

risk ölçümleri, risk dağıtımı, Black-Scholes modeli

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