Master Thesis in Economics: Evaluation of Selected Value at Risk Approaches in Normal and Extreme Market Conditions
Master Thesis in Economics: Evaluation of Selected Value at Risk Approaches in Normal and Extreme Market Conditions
This thesis aimed to identify the approaches with the most academic impact and to explain them in greater detail. Hence, models of each category were chosen and compared. The non-parametric models were represented by the historical simulation, the parametric models by GARCH-type models (GARCH, RiskMetrics, IGARCH, FIGARCH, GJR, APARCH and EGARCH) and the semi-parametric models by the Monte Carlo simulation. The functional principle of each approach was explained, compared and contrasted. Test fo