Modeling Financial Risk with R 136141-D
Laboratorium (LAB) Semestr letni 2024/25

A short introduction to R, data acquisition and management, time series.

Financial time series and their properties; prices, returns, indices, stylized facts.

Volatility and its properties, clustering, fat tails.

Normal distribution, t-Student, historical simulation VaR

Volatility models: EWMA and GARCH.

Value at risk and its properties, expected shortfall.

Value at risk for higher horiozns

Methods of risk forecasting I: historical simulation, parametric methods.

Backtesting risk forecasting methods I.

Methods of risk forecasting II: volatility models.

Backtesting risk forecasting methods II.

Methods of risk forecasting III: Simulation methods for VaR.

Backtesting risk forecasting methods III.

Stress testing.

Presentation of class projects.