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Janssen, M. J. J. (2009). Portfolio Optimization with a Value at Risk Constraint in the Presence of Unhedgeable Risks. Amsterdam: Department of Quantitative Economics, University of Amsterdam.

has been cited by the following article:

• TITLE: Financial Risk Measurement for Turkish Insurance Companies Using VaR Models

  AUTHORS: Ismail Yildirim

  KEYWORDS: Insurance, Financial Risk, Foreign Exchange Risk, VaR

  JOURNAL NAME: Journal of Financial Risk Management, Vol.4 No.3, September 30, 2015

  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.