/agh-quantitative-measures-of-market-risk

This repository consits of: projects and homeworks connected with research area such as Risk Management.

Primary LanguageJupyter Notebook

Quantitative measures of market risk

Description

This project was made for the Quantitive measures of market risk course at the AGH UST in 2021/2022. All provided methods are from scratch as a result of my work after hours, when I was solving given tasks (topics).

Topics

Analysis of Features Affecting Rate of Return

  • simple rate of return
  • logarithmic rate of return
  • Shapiro-Wilk test
  • Anderson-Darling test
  • Jarque-Bera test
  • Distribution of returns

Credit risk reduction models

  • company rating

Review of Value at Risk estimation methods

a) VaR and ES calculation methods:

  • Historical
  • Weighted historical
  • EWMA
  • GARCH

b) Backtesting methods:

  • Christoffersen test
  • Kupiec test

Portfolio VaR Calculation and Correlation Monitoring

  • Correlation monitoring
  • VaR calculation for portfolio (EWMA and GARCH)

Technology stack

  • R programming language (obligatory)
  • Jupyter Notebook

Data source