Browsing by Subject "Risk management."

Now showing 1 - 16 of 16

Open Access
Analyzing the forecast performance of S&P 500 Index Options implied volatility
(2012) Erdemir, Aytaç
This study examines the comparative performance of the call and put implied volatility (IV) of at-the-money European-style SPX Index Options on the S&P 500 Price Index as a precursor to the ex-post realized volatility. The results confirm that implied volatility contains valuable information regarding the ex-post realized volatility during the last decade for the S&P 500 market. The empirical findings also indicate that the put implied volatility has a higher forecast performance. Furthermore, from the wavelet estimations it has been concluded that the long-run variation of the implied volatility is consistent and unbiased in explaining the long-run variations of the ex-post realized volatility. Wavelet estimations further reveal that in the long-run put and call implied volatility contain comparable information regarding the realized volatility of the market. However, in the short-run put implied volatility dynamics have better predictive ability.
Open Access
Asset pricing in a multiperiod securities market with nonnegative wealth constraints
(2007) Arısoy, Yakup Eser
According to Black-Scholes option pricing model, options are redundant securities, therefore have no importance for the allocation of wealth in the economy. This dissertation shows that options might be nonredundant when two factors are considered - nonnegative wealth and volatility risk. The first part of the dissertation empirically examines whether options are redundant securities or not in the context of volatility risk. It is documented that volatility risk, proxied by zero-beta at-the-money straddles, captures time variation in the stochastic discount factor. In relation to this, alternative explanations to size and value vs. growth anomalies are given. In the second part of the dissertation, a multiperiod securities market is considered, and a model where agents face nonnegative wealth constraints is developed. Individuals’ associated consumption-investment problem is solved under this constraint, and optimal sharing rules for each agent in the economy are derived, subsequently. The optimal consumption for the representative agent leads to a multifactor conditional C-CAPM, which is the main testable hypothesis of the theory. Overall the theory outlined, and the empirical findings documented have implications for asset pricing, portfolio management, and capital markets theories.
Open Access
Banking relationship and firm performance
(2013) Sungu, Gözde
This thesis examines the relationship between firm performance and the number of banking relationships for the publicly traded Turkish firms listed in the Borsa Istanbul (BIST) for the period 2003-2011, by using 2SLS model. In the analysis, banks are categorized according to their nationalities, ownership structures and orientations; firms are classified based on their size as small and large, the sample period is divided into two as crisis and non- crisis years, considering the effect of the 2008 global crisis on the Turkish economic and financial system. I find that firm performance decreases as the number of banking relationships increases, regardless of bank types. However, this negative relationship between firm performance and the number of banks is observed only in non-crisis times and for only small-sized firms. I also find that firm age, size, obtaining funding from external sources other than bank loans, belonging to a group, related lending, being a multinational company, incentives obtained from government and state-ownership are significant factors affecting the number of banking relationships. However, the significances of these variables differ for different bank and firm types, and for sub-periods.
Open Access
Basel capital requirements and bank behavior : evidence form Turkish banking systems
(2014) Deryol, Ahmet
In this study I examine the effects of Basel capital requirements on the behavior of Turkish banks for the period between December 2002 and December 2013. Turkish banks are found to increase their lending rates by 17.33 basis points in case of a one-percent rise in equity to asset ratio. When the same analysis is applied to state, private and foreign banks, it is found that state banks behave differently and decrease their lending rates when they increase their equity to asset ratio. As a second analysis, I examine how banks react when they are exposed to regulatory pressure to increase their equity to asset ratio. I use simultaneous equations methodology to measure the effects of regulatory pressure. The findings indicate that private banks do not change their behavior, state banks increase their equity to asset ratio and foreign banks decrease their risk level when they are exposed to regulatory pressure.
Open Access
Determinants of the slope of S&P 500 index options : a joint analysis of macroeconomic announcements and private information
(2014) Yaşar, Burze
This thesis analyzes the possible determinants of the observed implied volatility skew of S&P 500 index options. The thesis will also examine the high frequency changes in VIX in response to macroeconomic announcements. Finally the effect of presidential announcements on stock market volatility will be investigated.
Open Access
Distortion risk measures and allocation methodologies
(2009) Kurtulan, Ali Burak
This study reviews the commonly used risk measures and allocation methodologies for risk capital. The method proposed by Tsanakas (2004) about dynamic capital allocation with distortion risk measures analyzed and for the cases when the events on which the liability processes are conditioned have zero probability, a new k-number approach is proposed which helps to behave risk-averse when correlations among liabilities are not accurate.
Open Access
Does derivative usage affect firm-level risk?
(2008) Küçükbahçıvan, Yüsra
This thesis aims to explore the effect of derivative usage on firm-level risk among U.S. non-financial firms for the year 2004, by using accounting information. Firm-level risk is proxied by four different risk measures; standard deviation of daily stock returns, beta, idiosyncratic risk and RiskGrade. First, univariate analyses are employed to test the difference in risk levels between firms that use and do not use derivatives. Second, regression analyses are conducted by taking into account control variables that are documented to affect risk in the literature. As a result of these analyses, it is documented that derivative usage leads to a decrease in firm-level risk.
Open Access
Equity ownership structure and its consequences : an empirical investigation in Turkish firms
(2001) Gürsoy, Güner
The study describes the main characteristics of ownership structure of the Turkish nonfinancial firms listed on the Istanbul Stock Exchange (ISE) and examines the impact of ownership structure on performance and risk-taking behavior of Turkish firms. Turkish corporations can be characterized as highly concentrated, family owned firms attached to a group of companies generally owned by the same family or a group of families. Ownership structure is defined along two attributes: concentration and identity of the owner(s). We conclude that there is a significant impact of ownership structure - ownership concentration and ownership mix- on both performance and risk-taking behavior of the firms in our sample. Higher concentration leads to better market performance but lower accounting performance. Family-owned firms, contrast to conglomerate affiliates, seem to have lower performance with lower risk. Governmentowned firms have lower accounting, but higher market performance with higher risk.
Open Access
Essays on market discipline in emerging markets
(2007) Ungan, Ayşe Ece
In the aftermath of major crises, most emerging markets improved their banking industries according to Basel-II requirements, which emphasize the role of market discipline, supervision and capital adequacy in controlling risk-taking by banks. After the 1998 crisis in the Russian Federation and the 2001 crisis in Turkey, Central Bank of Russia and Banking Regulation and Supervision Agency of Turkey restructured and consolidated the banking industries in both of the countries. In the restructured banking environment, market discipline could be used as a complementary mechanism for improved supervision of banking systems. First two essays of this thesis elaborate on depositor discipline in the Russian Federation and Turkey. Findings provide evidence that in the Russian Federation, depositors allocate funds in well-capitalized and liquid banks. Similarly after the crisis, depositors in Turkey prefer well-capitalized banks that have favorable asset quality. Although banks in Turkey operate more efficiently, due to excessive guarantees, depositors do not monitor banks’ risk taking behavior particularly before restructuring. In the third essay, the role of different types of shareholders in disciplining listed banks in Turkey is studied. While diversified shareholders are interested in profitability, owner-managers are concerned with capital adequacy, liquidity and efficiency of the banks. In addition, owner-managers are found to have some influence on bank management to reduce risk-taking. In particular, small banks take measures to increase the capital ratio while decreasing non-performing loans as a result of an increase in shareholders’ asset risk assessments.
Open Access
Evaluating probabilistic forecasting accuracy of exchange rates
(1996) Öztin, Şule
This study aims to explore various dimensions of probabilistic forecasting accuracy. In particular, the effects of using dichotomous format on the performance of semi-experts’ and novices’ probabilistic forecasts of exchange rates and currencies are examined. Semiexperts are comprised of banking and finance professionals in the finance sector. Novice group consists of MBA students from the Faculty of Business Administration at Bilkent University. The results suggest that the dichotomous format used to elicit the probabilistic forecasts has a differential effect on the p>erformance of semi-experts and novices. Implications of these findings for financial forecasting are discussed and directions for future research are given.
Open Access
Global financial crisis and risk perception
(2012) Polat, Tandoğan
The global financial crisis has caused remarkable deterioration in risk appetite and loss of confidence in financial markets. The countries, which succeeded a recovery in their macroeconomic structure, have been relatively less prone to the adverse effects of the crisis. The studies conducted on the impact of global crisis on economic indicators affecting the risk premiums of developing economies have been very limited. The focus of this thesis was on the revealing the change in market risk perceptions towards developing economies within the framework of a rolling base panel data analysis. The five-year Credit Default Swap (CDS) premium has been used as an indicator of country risk premium. According to the results of the panel analysis, in the pre-crisis period risk premiums are more heavily affected from the global developments as compared to domestic indicators, whereas investors have been giving more emphasis on domestic indicators in their risk perceptions with the burst of financial crisis.
Open Access
Impact of exchange rate fluctuations and political risk on the risk premiums reflected in the cross-sections of individual eqity returns
(1996) Yılmaz, Özer
The impact of exchange rate fluctuations and political risk on the risk premiums of individual equity returns trading in Istanbul Stock Exchange will be analyzed empirically. Turkey as an emerging market faced considerable monetary and political turbulence in the past decade. Variables from the currency and sovereign debt markets will be the proxies for exchange rate risk and political risks, respectively. Evidence of the risk premiums as a result of the exposure to the equity markets show valuable inferences although statistically significant conclusions are not the majority. These results have many implications for the corporate and portfolio management. This study also provides tools and data that can be utilized by the emerging market researchers.
Open Access
The impact of uncertainty on investment : overview
(2009) Yılmaz, Erdal
Common consensus in the real option literature is that there is a negative relationship between uncertainty and investment. One of the explanations can be stated that the increased in uncertainty leads to move up the value of waiting and consequently has an adverse effect on investment. Contrary to the existing theory, Sarkar (2000) and Gryglewicz et all (2006) find that this negative relationship is not always correct. The former paper demonstrates that an increase in uncertainty can actually hasten the probability of making an investment under certain condition (when project life is short and level of uncertainty is low) and hence uncertainty has a positive effect on investment. Result of the latter paper is exceptional in the sense that uncertainty may accelerate irreversible investment without building on the convexity of the marginal product of capital. In this thesis, we compare these two papers and investigate whether they support each other or not in the framework of real option theory. Moreover, we made some numerical simulations in order to understand clearly impact of other variables on investment along with uncertainty.
Open Access
Predictable dynamics in implied volatility smirk slope : evidence from the S&P 500 options
(2012) Onan, Mustafa
This study aims to investigate whether there are predictable patterns in the dynamics of implied volatility smirk slopes extracted from the intraday market prices of S&P 500 index options. I compare forecasts obtained from a short memory ARMA model and a long memory ARFIMA model within an out-of-sample context over various forecasting horizons. I find that implied volatility smirk slopes can be statistically forecasted and there is no statistically significant difference among competing models. Furthermore, I investigate whether these implied volatility smirk slopes have predictive power for future index returns. I find that slope measures have predictive ability up to 20 minutes.
Open Access
Risk analysis in construction business
(1996-11) Ersarı, Mehmet Ali
Open Access
Valuing risky projects in incomplete markets
(2009) Doğruer, Şaziye Pelin
We study the problem of valuing risky projects in incomplete markets. We develop a new method to value risky projects by restricting the so-called gain-loss ratio. We calculate the project value bounds on a numerical example and compare the results of our method with the option pricing analysis method. The proposed method yields tighter price bounds to the projects than option pricing analysis method. Moreover, for a specific value of gain-loss preference parameter, λ ∗ , our new method may yield a unique project value. Interestingly, replicating portfolios are different in the upper and lower bound problems for λ ∗ . The results are obtained in a discrete time, discrete space framework. We also extend our method to markets with transaction costs and situations with uncertain state probabilities.