Journal of Financial Risk Management

Volume 4, Issue 3 (September 2015)

ISSN Print: 2167-9533   ISSN Online: 2167-9541

Google-based Impact Factor: 1.92  Citations  

Financial Risk Measurement for Turkish Insurance Companies Using VaR Models

HTML  XML Download Download as PDF (Size: 474KB)  PP. 158-167  
DOI: 10.4236/jfrm.2015.43013    7,715 Downloads   10,189 Views  Citations
Author(s)

ABSTRACT

This study aims to measure the foreign exchange risks that the insurance companies are exposed to. In this context, this study analyzes 7 insurance companies listed in Borsa Istanbul (Istanbul Stock Exchange). The foreign exchange risks that the insurance companies are exposed to were measured using VaR models, Historical Simulation and Monte Carlo Simulation methods. Data obtained from the analysis show the losses that the insurance companies suffer due to exchange risk. The losses calculated using the Monte Carlo Simulation were found to be greater than the losses calculated using Historical Simulation.

Share and Cite:

Yildirim, I. (2015) Financial Risk Measurement for Turkish Insurance Companies Using VaR Models. Journal of Financial Risk Management, 4, 158-167. doi: 10.4236/jfrm.2015.43013.

Cited by

[1] Risk Budgeting: A Tactical Asset Allocation Approach for Retirement Reserve Funds in Morocco
Journal of Financial Risk …, 2023
[2] Predictive Analytics and Risk Management of Property Insurance
2023
[3] Do econometric advances lead to more accurate VaR estimations when the legislation requirements are applied? The case of Turkish Lira FX Market.
… on Business and …, 2022
[4] Collective Modified Value-At-Risk in Life Insurance When the Number and Amount of Claims Has Poisson-Lognormal Distributions
Review of International Geographical Education …, 2021
[5] Minimal draft of insurance analyse of Azerbaijan
2020
[6] Effects of Macro-Economic Forces on Financial Risk of Insurance Companies Listed At the Nairobi Securities Exchange (2010-2017)
2019
[7] How Accurate are Value at Risk Model at Islamic Banks? An Approach of Berkowitz Model
2019
[8] Influence of Financial Risk on Financial Performance of Commercial Banks in Kenya
2018
[9] Risk adjustment model of credit life insurance using a genetic algorithm
IOP Conference Series: Materials Science and Engineering, 2018

Journals Menu
Follow SCIRP
Contact us
customer@scirp.org
WhatsApp +86 18163351462(WhatsApp)
Click here to send a message to me 1655362766
Paper Publishing WeChat

Copyright © 2025 by authors and Scientific Research Publishing Inc.

Creative Commons License

This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.