VALUE AT RISK APPROACH WITH PARAMETRIC AND NON-PARAMETRIC METHODOLOGIES

Abstract

The purpose of this study is investment portfolio which is created with stocks and calculation of VAR’s by parametric and nonparametric methods. In this study, VAR results of different methods ara compared. In that sense, firstly risk and VAR concepts are examined. After that, the general definition of the VAR was made in detail along with its varieties. Finally, stocks A class and 18 stocks in total composed of 6 years data and different sectors has been added hypothetically created portfolio in practice. Calculated by parametric and nonparametric methods and the results were reviewed with comparison. As a result of the study, the standard deviation of EWMA from parametric methods is significantly higher than the other parametric methods of fixed standard deviation and non-parametric methods of historical simulation. Because the VaR calculated by the EWMA method is calculated with more current data, the recommendation result for the consulting portfolio arises.