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).
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)
- R programming language (obligatory)
- Jupyter Notebook
- Yahoo Finance https://finance.yahoo.com/
- Stooq https://stooq.pl/