https://github.com/manik2000/risk-modelling

Risk analysis conducted for Orlen prices: univariate, multivariate analysis, bactesting, VaR modelling, ...
https://github.com/manik2000/risk-modelling

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Risk analysis conducted for Orlen prices: univariate, multivariate analysis, bactesting, VaR modelling, ...

• Host: GitHub
• URL: https://github.com/manik2000/risk-modelling
• Owner: Manik2000
• License: mit
• Created: 2023-12-15T13:31:43.000Z (over 2 years ago)
• Default Branch: main
• Last Pushed: 2023-12-16T15:07:34.000Z (over 2 years ago)
• Last Synced: 2025-01-30T04:25:29.966Z (over 1 year ago)
• Language: Jupyter Notebook
• Size: 3.17 MB
• Stars: 0
• Watchers: 1
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

          
# Risk-modelling

Risk analysis conducted for Inpost company: univariate, multivariate analysis, bactesting, VaR modelling, ...

Considered risk variables are:

* Diesel prices,

* petrol prices,

* currency exchange rates.

These are, according to me, the most important risk factors for logistic and transport company such like Inpost. The analysis was conducted for the period 2012-2022.

## Data

Data was collected from the following sources:

* [NBP](https://nbp.pl/en/statistic-and-financial-reporting/rates/)

* [Orlen](https://www.orlen.pl/pl/dla-biznesu/hurtowe-ceny-paliw#paliwa-archive)

## Analysis

The analysis was conducted in Python. It consists of three different parts:

* Uni- and multivariate analysis of risk factors + backtesting,

* Minimal risk portfolio analysis,

* VaR modelling using different methods (historical, parametric, Monte Carlo, Garch, ...).

The corresponding files are:

* `I_risk_analysis.ipynb`,

* `II_portfolio_analysis.ipynb`,

* `III_VaR_modelling.ipynb`.

Project was conducted as a part of the course "Risk modelling" at Wrocław University of Science and Technology.