Market Risk Estimation in Python

Abstract

The objective of this thesis is to validate different VaR estimation methods by backtesting the adjusted closing prices of AAPL stock from 2017-1-1 to 2023-12-31. The thesis is divided into five chapters. The first chapter is the introduction and it describes the purpose and structure of the thesis. The second chapter focuses on the principles, formulas, advantages and disadvantages of the four VaR estimation methods. In the third chapter, the backtesting is introduced. In the fourth chapter, we empirically analyze the data using the methods introduced in the previous chapters and compare the results. In the fifth chapter, we summarize the results and identify the optimal model.