Modelling Financial Markets with R
Due to the coronavirus outbreak classes will be conducted via Microsoft Teams.
Pleas check your mailbox for instructions.
TOPICS
Block One
Introduction
The properties of financial time series
Simple methods of VAR and ES calculation
Variance clustering
Block Two
Calculating VAR and ES for further horizons
Models backtesting
Stress testing
MATERIALS
All codes are available here.
Script is available here.
R version (3.6.2) for this course is linked here.
R version (4.2.1) for this course is linked here.
ADDITIONAL READINGS
Danielsson J. 2011. Financial Risk Forecasting, Wiley.
Dowd K., 2005. Measuring Market Risk, Wiley.
Alexander C., 2009. Market Risk Analysis, Wiley.
Jorion P., 2007. Value at risk, McGraw-Hill.
RiskMetrics - technical document: link
PRIIP: regulation and diagram
SRRI methodology: link
R SOFTWARE LINKS
An Introduction to R: Software for Statistical Modeling & Computing
EVALUATION CRITERIA FOR FULL-TIME STUDENTS
Points
20 points - two presentations
10 points - traditional exam.
2 points - activity
Guidelines for the homework assignment (to be updated).
All students must earn at least 30% of points before taking the exam.
GRADES
[0-16): 2
[16-18): 3
[18- 21): 3+
[21- 24): 4
[24- 28): 4+
[28- 32]: 5
EVALUATION CRITERIA FOR PART-TIME STUDENTS
Points
10 points - home assignment
2 points - activity
8 points - exam
Guidelines for the project.
GRADES
[0-10): 2
[10-12): 3
[12 - 14): 3+
[14 - 16): 4
[16 - 18): 4+
[18 - 20]: 5