
I.I. Drobysh Advanced methods of calculating Value at Risk in market risk estimation 

Abstract. On the base of systematization of scientific papers of Russian and foreign authors the article summarizes gathered experience of methods of calculating Value at Risk taking into account contemporary trends. Classification of methods and analysis of their comparative accuracy are implemented. In whole, traditional methods (deltanormal method, historical simulating method, MonteCarlo method) give less accurate estimates of VaR in comparison with the methods developed later. Among advanced methods, as more accurate should be noted: parametric methods based on asymmetric models of generalized autoregressive conditional heteroskedasticity, and applying distributions other than normal to errors in GARCH models, Hull–White method, method of filtered historical simulation, extreme value method, some specifications of CAViaR method. With that, in the largest number of analyzed articles, the method GARCHEVT, that combines the generalized autoregressive conditional heteroskedasticity model and the extreme values theory, is noted as the most accurate. Keywords: quantile of the distribution function, Value at Risk, method of calculating, methods for verifying estimates. PP. 5162. DOI: 10.14357/20790279180305 References 1. Vilenskii P.L., Livshits V.N., Smolyak S.A. 2015. Otsenka effektivnosti investitsionnykh proektov: Teoriya i praktika: Uchebnoe posobie. [Estimation of investment project efficiency: Theory and practice: Text edition] M.: Poli Print Servis. 1300 p. 2. Drobysh I.I. 2016. Sravnitel’nyi analiz metod otsenki rynochnogo riska, osnovannykh na velichine Value at Risk [Comparative analysis of market risk estimation method based on Value at risk]. Ekonomika i matematicheskie metody [Economics and mathematical methods]. 4:74–93. 3. Men’shikov I.S., Shelagin D.A. 2000. 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