Özet:

Risk management, which is an inevitable element of financial markets, has become more complex in recent years as technological developments and the deregulation of markets and the phenomenon of globalization show itself in the financial markets. In financial markets, institutions face many types of risk, such as credit risk, liquidity risk, market risk, operational risk. In recent years, the Risk Exposure Value (RMD) method, which is widely accepted among the risk calculation methods, is widely used by banks to calculate market risk. In the first part of the study, the risk types were referred to, the historical development, definition and calculation methods of RMD were defined, the differences between the methods were briefly listed. In the second section, the IMKB30 index and the portfolios of the State Internal Debt Sections are selected and the risk exposure values of these portfolios are calculated by the Monte Carlo Simulation method, one of the RMD calculation methods. Simulations for each portfolio were evaluated on the basis of normal distribution and student t distribution, the difference between the results achieved. The results are evaluated in general and the results of the application are interpreted.

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