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Yayın Comparison of evolutionary techniques for Value-at-Risk calculation(Springer-Verlag Berlin, 2007) Uludağ, Gönül; Etaner Uyar, Ayşe Şima; Senel, Kerem; Dağ, HasanThe Value-at-Risk (VaR) approach has been used for measuring and controlling the market risks in financial institutions. Studies show that the t-distribution is more suited to representing the financial asset returns in VaR calculations than the commonly used normal distribution. The frequency of extremely positive or extremely negative financial asset returns is higher than that is suggested by normal distribution. Such a leptokurtic distribution can better be approximated by a t-distribution. The aim of this study is to asses the performance of a real coded Genetic Algorithm (CA) with Evolutionary Strategies (ES) approach for Maximum Likelihood (ML) parameter estimation. Using Monte Carlo (MC) simulations, we compare the test results of VaR simulations using the t-distribution, whose optimal parameters are generated by the Evolutionary Algorithms (EAs), to that of the normal distribution. It turns out that the VaR figures calculated with the assumption of normal distribution significantly understate the VaR figures computed from the actual historical distribution at high confidence levels. On the other hand, for the same confidence levels, the VaR figures calculated with the assumption of t-distribution are very close to the results found using the actual historical distribution. Finally, in order to speed up the MC simulation technique, which is not commonly preferred in financial applications due to its time consuming algorithm, we implement a parallel version of it.Yayın Performance analysis of Turkish banking sector: CAMELS implementation(PressAcademia, 2020-07-30) Koç, Caner; Teker, DilekPurpose- These effects lead to many crises in the country, especially the economic crisis, and may result in serious chaos environments. In order not to experience these situations, the banking sector must be under audit and observation. One of the most important actions to be taken for this audit and observation is the regular measurement of financial performance analysis of banks. CAMELS analysis is a globally accepted system for this performance analysis. Camels analysis measures banks with components of capital adequacy, asset quality, management quality, profitability, liquidity and sensitivity to market risks. Methodology- In this study, a total of 16 banks, 2 separate bank groups operating in the Turkish banking sector, 13 of which are private capital banks, 3 of which are Public Banks, were subjected to CAMELS analysis for 16 separate periods taking into account the balance sheets at the end of 2003 and 2018. Findings- According to the results of the study, among the banks, Türkiye Cumhuriyeti Ziraat Bankası A.Ş., Akbank T.A.Ş. ve Türkiye Garanti Bankası A.Ş. among the groups, it was observed that the group of Public Banks perform a stronger performance than other banks and groups. Conclusion- The fact that all banks and bank groups operating in the Turkish banking sector have a stronger performance in the coming process will undoubtedly create a more appropriate level of economic prosperity for every structure in the state and individual scale in Turkey's economic sense.
