JFRM  Vol.4 No.3 , September 2015
Financial Risk Measurement for Turkish Insurance Companies Using VaR Models
Author(s) Ismail Yildirim
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.

Cite this paper
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.
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