Forecasting of any risk is the crucial activity for any commercial bank. In current
situation market risk is an important element needed to be analyzed. The
probability of this type of risk may be affected by the change in the market value
of financial instruments and by the volatility of foreign exchange rates. Nowadays
in Russia each organization should conduct proper risk-management and be able
to predict possible losses. The article presents the assessment of the market risk
by the example of the price of the common share of the Bank of Moscow.
Forecasting is implemented by three models: ARIMA, Value-at-Risk and VAR.
Scientific novelty of this article is in comparison of the prediction procedures
of above mentioned methods. The result obtained during the analysis shows,
that the model Value-at-Risk is efficient for a short period of forecasting and
should be combined with others models in order to get more accurate results.
Modeling and Forecasting Market Value-at-Risk of DS30 Index through GARCH Family Models with Heavy Tail Distribution