Determination of factors influencing the implementation and calculation the Value At Risk model of selected company

Yekaterina Polenova

Bakalářská práce

Abstract:

This paper examines the key aspects affecting the calculation and application of the Value at Risk (VaR) model for a selected company using a statistical approach. Today, VaR is a commonly used indicator for assessing financial losses and managing risks within a certain confidence interval. The study presents a comparative analysis of three main methods of calculating VaR—historical modeling, parametric (variance-covariance) method, and Monte Carlo simulation—with an assessment of their accuracy, effectiveness, and applicability in various market conditions. Using time series analysis and financial data from Apple Inc., this study evaluates the impact of market volatility and external economic factors on risk assessment. The results highlight the strengths and limitations of each VaR method. The historical simulation method reveals potential short-term losses, emphasizing the necessity of supplementary risk measures such as Conditional VaR (CVaR) and stress testing. The parametric VaR method provides a systematic yet assumption-dependent risk estimate over a longer horizon. The Monte Carlo simulation confirms similar risk thresholds but underscores the importance of accounting for extreme market events beyond standard distribution assumptions. Ultimately, these results demonstrate the importance of choosing an appropriate risk management approach that ensures accurate calculations and reliability under different economic conditions. The study provides valuable insights into the significance of the VaR coefficient and its role in modern risk analysis.

Keywords

Value at Risk (VaR), financial modeling, risk management, Historical simulation, Monte Carlo simulation, Variance-covariance method, Time series analysis

Jazyk práce: angličtina

Datum vytvoření / odevzdání či podání práce: 26. 3. 2025

Obhajoba závěrečné práce

• Vedoucí: doc. Ing. Tomáš Hlavsa, Ph.D.
• Oponent: Jindřich Špička, Ph.D.

Česká zemědělská univerzita v Praze

Provozně ekonomická fakulta

Bakalářský studijní program:
Economics and Management