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 (delta-normal method, historical simulating method, Monte-Carlo 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 GARCH-EVT, 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. 51-62. 

DOI: 10.14357/20790279180305

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