Comparative Analysis of Value at Risk Methods Using ESG High Scoring Stocks

In conducting a comparative analysis of Value at Risk (VaR) methods utilizing ESG high-scoring stocks, we have gained significant insights into the criticality of risk prediction and the influence of various VaR methods on risk management.

We employed several methodologies to calculate the VaR, including the Filtered Historical Simulation, the Historical Simulation Method, the Model Building Approach, and the Exponentially Weighted Moving Average (EWMA) Method and assessing the impact of varying lambda parameters on the performance metrics.

This study has enhanced our understanding of the strengths and weaknesses of each method when calculating the VaR for individual stocks. In the future, we intend to broaden our risk assessment by incorporating other VaR methods, employing different backtesting methods, varying the size of rolling windows, adjusting the length of data, and comparing different ESG stocks or ESG ETFs.

This topic has laid a solid foundation for us, and we will continue to learn and explore in this field. In conclusion, this study has provided us with an initial understanding of VaR calculation. We are confident that these experiences and learnings will significantly influence our future endeavors and assist us in better estimating investment risks.