Risk - Management

Warning : This is a school project, our approach might not be the good one, feel free to contact us.

Introduction to Risk Management. Work done with my team mate Lucas Puchetti.

The explanation will be in English/French.

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The PDF have the complete set of questions.

The aim of this project consists in quantifying model risk, in particular in the framework of market risk measures. We are going to implement simple market risk measures such as VaR or ES (expected shortfall), and to study different kinds of model risk. Please note that the VaR and ES are estimated on the daily price returns and not on the price itself. All risk measures will be at a one-day horizon.

Notions that you might encounter during the project:

• Expected Shortfall and VaR in three different frameworks;
  • Empirical Quantile (historical simulation)
  • Parametric Distribution (Variance-Covariance Method)
  • Nonparametric Distribution (Monte Carlo Method)
• Estimator of Pickands
• GEV and the Extreme Value Theory (EVT)
• Leadbetter's extremal index
• Hurst exponent
• VaR as a function of the bandwidth parameter of the kernel
• Fractional Brownian Motions
• Wavelet : Denoising a series