Statistical evaluation of value at risk methods

It is known that the value at risk(VaR) is a measure of the losses caused by normal market movements and represents a monetary loss that we can lose at a certain holding period on a certain level of confidence. βeta coefficient indicates how much the risk is for a given stock and calculates the risk rating using the weighted averages of the historical data of the stocks. In this thesis study, the concept of value at risk, calculation process and calculation methods are examined in detail and the statistical parameters in this process are emphasized. An implementation has been made to show how the VaR methods, which become standard in risk measurement, can be used to measure the market risk of a bank portfolio. With this implementation, it has been shown whether the risk class and the VaR are consistent after the risk classification according to the Beta coefficient has been made.