Comparison of Nonparametric Methods for Estimating the Level of Risk in Finance

The present paper is intended to selected aspects of approximation, respectively quantification of market risk exposure of financial instruments. Featured approximation methods or quantifying the level of risk are first described in theory and then applied to real data. Specifically, the shares of Oracle, Coca Cola and Pfizer term in January 2012 to February 2015. The price development is on a daily basis. An integral part of the paper is a graphical representation of the results and their comparison. The distribution function of the random variable representing the risk is not known and therefore it must be estimated. In the present paper we will assume that the theoretical probability distribution of losses is not known to us and we have to estimate, i.e. apply called nonparametric estimates.