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

R software

R manuals

Applied Econometrics with R

An Introduction to R: Software for Statistical Modeling & Computing

Guide for R

An Introduction to R

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