https://github.com/bjam24/agh-quantitative-measures-of-market-risk

This repository consits of: projects and homeworks connected with research area such as Risk Management.
https://github.com/bjam24/agh-quantitative-measures-of-market-risk

correlation ewma expected-shortfall garch historical portfolio rate-of-return risk-analysis risk-management risk-modelling value-at-risk

Last synced: 2 months ago
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This repository consits of: projects and homeworks connected with research area such as Risk Management.

• Host: GitHub
• URL: https://github.com/bjam24/agh-quantitative-measures-of-market-risk
• Owner: bjam24
• License: mit
• Created: 2021-12-09T11:32:51.000Z (about 3 years ago)
• Default Branch: main
• Last Pushed: 2024-07-12T17:08:09.000Z (7 months ago)
• Last Synced: 2024-07-12T19:25:27.471Z (7 months ago)
• Topics: correlation, ewma, expected-shortfall, garch, historical, portfolio, rate-of-return, risk-analysis, risk-management, risk-modelling, value-at-risk
• Language: Jupyter Notebook
• Homepage:
• Size: 3.06 MB
• Stars: 3
• Watchers: 1
• Forks: 1
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

        
# 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

- Yahoo Finance https://finance.yahoo.com/

- Stooq https://stooq.pl/