Estimation Errors of Simple VaR Models for Bond Portfolios

Student: Khotulev Pavel

Supervisor: Victor A Lapshin

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Year of Graduation: 2020

In this thesis, our main goal is to show the utility value at risk as an assessment tool to quantify the market risk and secondly to present the different value at risk methods (e.g historical methods, semi-parametric, parametric approaches). In the last part, we will create a Barbells with Bonds ETFs and apply our chosen value at risk model, and finally we will discuss the backtest findings.

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