/EWMA_RiskMetrics

An implementation on R of the EWMA filter for volatility by RiskMetrics™ (JPMorgan & Reuters 1996)

Primary LanguageR

EWMA_RiskMetrics()

An implementation on R of the EWMA filter for volatility by RiskMetrics™ (JPMorgan & Reuters 1996) This software use RiskMetrics™ volatility model to compute the risk associated with and asset's return.

Website of the project https://solbiatialessandro.github.io

Current State of the Project:

Implemented in 'R-code' folder the core functions for the EWMA filter:

  • calculate the EWMA volatility with RiskMetrics formulas
  • compute the Value at Risk with three diffrent methods: non parametric, returns distributed as a normal, returns distributed as a student's t
  • binomial backtest of the Value at Risk correctness

Implemented in 'Utility' folder the functions to use the filter and evaluate risk

  • getPrice() to get an asset's price from yahoo.finance
  • study() to compute the Value at Risk, Expected Shortfall and associated p-value of the time series
  • display_study() to study different assets at the same time

##Reference for the project

The project has been developed based on the Techincal Document by JPMorgan and Reuters (specifically on chapter 5 https://www.msci.com/documents/10199/5915b101-4206-4ba0-aee2-3449d5c7e95a)

##Case studies

##Italian bank associated risk

The software has analysed the major banks in the FTSE.MIB and these are the Value at Risk obtained

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