ECONOMETRICS IN RISK ASSESSMENT IN FINANCIAL MARKETS: USING VALUE AT RISK (VAR) AND OTHER METHODS
Ключевые слова:
Econometrics, risk assessment, financial markets, Value at Risk (VaR), Conditional VaR (CVaR), Monte Carlo simulation, variance-covariance method, stress testing, financial risk management, econometric models.Аннотация
The increasing complexity of financial markets and the need for effective risk management strategies have led to the widespread use of econometric models to assess and mitigate risk. This article explores the role of econometrics in financial risk assessment, focusing on the application of the Value at Risk (VaR) methodology and other complementary techniques. VaR has become a standard tool for quantifying potential financial losses over a specific time horizon with a given level of confidence. The article examines various methods for estimating VaR, including historical simulation, variance-covariance, and Monte Carlo simulation, and discusses their strengths and limitations. Additionally, it investigates other risk management models, such as Conditional VaR (CVaR) and stress testing, to provide a comprehensive approach to risk assessment. By analyzing the applications of these models in real-world financial markets, this article highlights the importance of econometrics in understanding and managing financial risks, particularly in volatile and uncertain market conditions.
Библиографические ссылки
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