Grigorios Kontaxis was born on 17 December, 1989 in Athens. He holds a Bachelor’s degree in Informatics and Telecommunications from the National and Kapodistrian University of Athens and a Master’s in Mathematical Trading and Finance from Cass Business School. Furthermore, he is a Phd candidate at the National Technical University of Athens. Grigorios has worked as a Quantitative Analyst in Vienna at Erste Bank between 2014 and 2017. Moreover, he has been working in the finance sector in London since 2018. Today, he is a Quantitative Risk Manager at the London Stock Exchange. His main interests are investment risk, risk models and portfolio analysis.
In this study, different value-at-risk models, which are used to measure market risk, are analyzed under different estimation approaches and backtested with an alternative strategy.
In this study different value-at-risk (VaR) models are analyzed under different estimation approaches (filtered historical simulation, extreme value theory and Monte Carlo simulation) and backtested with different techniques.