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PETROL FİYATLARINDAN KAYNAKLANAN RİSKİN TAHMİN EDİLMESİ: Monte Carlo Simulasyonu Yöntemiyle RmD Yaklaşımı

Journal Name:

  • İstanbul Üniversitesi İktisat Fakültesi Mecmuası

Publication Year:

  • 2009

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
The impacts of the variation in the oil prices are stated by varius research in economic literature. Thus, the problem of forecasting, measuring and managing the risks which arise from the oil price fluctiations are very important for both macro level policy makers and businesses. One of the most important aspects of risk management is risk measurement. In this research, the Monte Carlo simulation VaR method is implemented in order to forecast the risk of oil prices. Simulation results of weekly oil price data in 10/01/1997-16/06/2006 period are implemented on the test period (23/06/2006-16/05/2008) in order to forecast VaR’s at different confidence levels. The results are paralel to the expectations according to the confidence levels. By implemeting binary and quadratic loss functions as performance criteria, the relative performance of the method in long and short positions in the test period are investigated. The results show that the method is superior for short positions in the test period. As a result, the Monte Carlo simulation VaR can be used as a vital tool for macro policy makers and businesses in managing the risks arise from the oil price fluctuations.
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Abstract (Original Language): 
Ekonomi literatüründe çok çeşitli çalışmalar tarafından farklı yönleri ortaya konulan petrol fiyatlarındaki değişimin ekonomi üzerinde yarattığı etkilerden hareketle, söz konusu fiyat değişimlerinin yaratacağı risklerin öngörülmesi, hesaplanması ve yönetilmesi sorunu gerek makro politikaları belirleyen otoriteler, gerekse işletmeler tarafından oldukça önemlidir. Riskin yönetilmesi kavramı içinde en önemli unsurlardan biri ise riskin ölçülmesidir. Bu çalışmada da petrol fiyatlarından kaynaklanan riskin tahmin edilmesinde Monte Carlo simülasyonu yöntemiyle RmD yaklaşımı uygulanmıştır. Haftalık ham petrol fiyatlarının kullanılmasıyla 10/01/1997 – 16/06/2006 tarihleri arası olarak belirlenen tahmin dönemine dayalı olarak gerçekleştirilen simülasyon sonuçları, test dönemine (23/06/2006-16/05/2008) uygulandığında elde edilen bulgular, ham petrol fiyatlarındaki değişimlerden kaynaklanan riskin ölçümünde Monte Carlo simülasyonuna göre tahmin edilen RmD’nin, hesaplandığı güven düzeyleri ile ilgili olarak beklenen sonuçları verdiği yönündedir. Binary ve kuadratik kayıp fonksiyonlarının performans kriteri olarak kullanılmasıyla ulaşılan sonuçlar, fiyat yükselişleri ile fiyat düşüşleri açısından karşılaştırmalı olarak incelendiğinde ise, söz konusu test döneminde yöntemin fiyat yükselişlerinden kaynaklanan risklerin ölçümünde daha iyi performans gösterdiği yönündedir. Dolayısıyla yöntemin, gerek makro politika belirleyiciler, gerekse işletmeler için petrol fiyatlarındaki değişimlerden kaynaklanan risklerin öngörülmesinde ve yönetilmesinde kullanışlı bir araç olacağı kabul edilebilir.
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  • Turkish

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