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
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.
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
An Introduction to R: Software for Statistical Modeling & Computing
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.
[0-16): 2
[16-18): 3
[18- 21): 3+
[21- 24): 4
[24- 28): 4+
[28- 32]: 5
10 points - home assignment
2 points - activity
8 points - exam
Guidelines for the project.
[0-10): 2
[10-12): 3
[12 - 14): 3+
[14 - 16): 4
[16 - 18): 4+
[18 - 20]: 5