Modelling Financial Risk with R

Topics

Block 1

T1. Instroduction
T2. Financial time series
T3. Simple models for Value at Risk (VaR) and Expected Shartfall (ES)
T4. Volatility clustering: VaR and ES

Block 2

T5. VaR/ES for longer horizons
T6. Stress tests
T7. Backtesting

Material:

Script:

Michał Rubaszek i Marek Kwas. 2021. "Materials for the course Modelling Financial Risk with R", SGH, Warsaw (download)

R codes

Individual files: Topic1.R; Topic2.R; Topic3.R; Topic4; FunctionsBlock1.R; Topic5.R; Topic6.R; Topic7a.R; Topic7b.R; Topic7c.R; Topic8.R; FunctionsBlock2.R; LoadFundData.R; LoadWigData.R

All files in zip files: KodyR.zip

Additional materials

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

Useful links to R:

1. Webpage R (link)
2. Manuals (link)
3. Kleiber Ch. oraz Zeileis A., Appied Econometrics with R)
4. P. Kuhnert & B. Venables, An Introduction to R: Software for Statistical Modeling & Computing
5. P. Biecek, Przewodnik po pakiecie R
6. Rproject, An Introduction to R

Grades

Points can be collected for:

2 presentations (2x10p.)
Online exam (10p)
Work during meetings (2p)

Scale

up to 15: 2.0
up to 18: 3.0
up to 21: 3.5
up to 24: 4.0
up to 27: 4.5
above 27: 5.0