École Nationale Supérieure de
Techniques Avancées

Résumé

We will explore existing methods to estimate VaR and its derivative CVaR in this research project. We begin with the historical approach. After that, we will study the parametric approach and end with the semi-parametric approach. We will investigate some traditional time series to model the financial market and demonstrate their limitations before studying GARCH models mathematically and numerically and applying them to calculate our risk metrics.