Abstract:

The individual pension system, which was developed for the purpose of removing financial difficulties in social security system’s pension base, had been applied by numerous countries in 20th century. In order to make detailed interpretations regarding the individual pension system, which is new for Turkey, it is necessary to perform risk analyses for the funds and the firms taking part in the system. In this study, it is aimed to analyze the losses for the individual investor by applying the Value at Risk (VaR) method; initially to a hypothetical portfolio containing various kinds of funds entirely in an individual pension firm, and afterwards to a hypothetical portfolio containing the same kind of funds in various individual pension firms. During the analysis, 11 firms and totally 98 funds daily closing prices in the year 2007 have been considered. Furthermore, the Marginal VaR amounts indicating the proportion of each fund in total risk were estimated. In conclusion, it is understood that the stock funds are the factors which increase the total risk maximally; whereas the public borrowing instruments increase it minimally

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