Vadeli işlem ve opsiyon borsasında işlem gören vadeli işlem sözleşmeleriyle piyasa risklerinin yönetilmesi

Abstract

Financial risks have left deep traces on nowadays world, especially starting from late 20th century. As a result of this, management of financial risks is one of the most important subjects for companies of today?s world. Future Contracts, as a type of derivatives, are used efficiently as a means of risk management by real and financial sector companies especially in developed countries. In the first part of our study, financial risk and its types are defined, conceptual information about financial risk management and international regulations related to risk management are explained. Furthermore, measurement methods related to financial risk management are outlined. In the second part of the study; definition, examples and development of Future Contracts and the way they are used in risk management are clarified and characteristics, development and history of Future Markets are stated. Moreover, applications in Turkish Futures market and establishment, market structure and operations of TURDEX are described. In the third part, Future Contracts traded on TURDEX are explained with examples of their usage in risk management. In this part, it is proved that TURDEXISE30 Future Contract can be used in risk management of a portfolio consists of stocks by using real TURDEX and ISE prices. A high correlation is found between TURDEX-ISE30 Future Contracts and ISE 30. Later on, we use VaR methot to test 126 if it is possible to hedge our portfolio with index contracts of TURDEX. It is proved that VaR can be minimized by changing the proportion of Future Contracts in the portfolio everyday. As a result, it is concluded that Future Contracts traded on TURDEX, can be used successfully in financial risk management.