A SURVEY OF VALUE AT RISK METHODOLOGIES

1) Parametric value at risk 1) Parametrik riske maruz de2er 2) Historical value at risk 2) Tarihsel riske maruz de2er 3) Weighted Historical value at risk 3) A21rl1kland1r1lm1 = tarihsel riske maruz de2er 4) Monte Carlo value at risk 4) Monte Carlo riske maruz de2er 5) Filtered Historical value at risk 5) Süzülmü = tarihsel riske maruz de2er IABSTRACT In Section 1, it is given an introduction. In section 2, it is provided Parametric VaR Methodology based on explicit assumptions for factor returns that pricing functions are linear in the risk factor returns. Section 3 and section 4 describe two different methodologies to asses these risk. The first methodology is based on Monte Carlo simulation and does not make any analytical assumption regarding the pricing function of the underlying positions. The second methodlogy is HS which based on historical fequencies of returns. Section 5 and section 6 explains two different methods to examine risk based on these historical frequencies of retuns. In section 5, WHS which assignes higher weight to new observations and a lower weight to older observations. In section 6, FHS is introduced. It is shown how it eliminates the problem with irrelevant current regime by scaling historical observations by an estimate of their volatility. Finally, it is conclude