Browsing Master's Theses by Author "Akat, Muzaffer"
Now showing items 1-6 of 6
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A analysis of the low-volatility anomaly on the Borsa Istanbul
Yaman, Erkin Levent (2021-06-04)In financial markets, obtaining high returns against high systematic risk is basically the expected situation. It is regarded as a financial anomaly that high-risk stocks yield lower returns than low-risk stocks. This ... -
Backtesting the modified VaR and Expected Shortfall methods: For non-linear portfolios within basel accords
Memiş, Cahit (2018-05)The banks have to measure the market risk daily for the calculation of their capital adequacy. According to the Fundamental Review of Trading Book (FRTB) market risk revision, which was released in 2016 by the Basel Committee ... -
Does the auction cycle have an effect on the momentum strategies in Turkish bond market?
Öztürk, İlkay (2018-05)A momentum strategy is applied on the 5-year and the 10-year maturity Turkish bonds between March 2010 and August 2017 with various look-back periods. The U.S. 10-year maturity bond yield and the Istanbul Stock Exchange ... -
Effect of wage payment days on USD/TL foreign exchange rate in Turkey
Karagöz, Erdi Mertcan (2019-06-10)This paper examines and analyzes changes (increase, decrease otherwise) in US Dollar against Turkish Lira foreign exchange rate returns in some calendar days such as wage payment days in Turkish free foreign exchange market ... -
An empirical study for the systemic risk in the Turkish banking system
Filizer, Petek (2019-06-10)In this thesis, the relationship between the interbank connections and the systemic risk have been analyzed in the Turkish Banking System. The data is gathered from the financial statements of banks on a yearly basis between ... -
Product differentiation as a tool of sustainability and financial performance
Sever, Funda (2019-11-20)Sustainable product differentiation has been distinguished essential factors to assist environmental balance of ecosystem, gain growth to sustainable future. Defining sustainable product differentiation is initiated with ...
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