Risk Analysis and financial transformations - R SOLUTIONS -- 3
Budget: ₹1,500 – ₹12,500 INR
Skills in building financial econometrics models in evaluating market risks and forecasting financial time series trends. Present skills in presenting and interpreting the outcome for implications in finance. Select a financial time-series data set and apply several risk analysis approaches for estimating the volatility and future trend of the selected time-series data. Can choose any type of financial time series indicator, such as stock returns, interest rates, exchange rates, option prices etc. Your selected data could be daily or monthly for a number of years to ensure a minimum of 100 observations Detailed marking scheme and instructions:
1. Aims and objectives of the report.
The rationale choice of the data and estimation period. A short brief of methodologies applies in the work and provides the outline structure of the report at the end of the section.
2. Literature Review on Market Risk Models. Literature review on various approaches in risk analysis, such as Historical Simulation, Value at Risk, simple variance/covariance approach, ARCH/GARCH models
3. Data Collection Source and data description. Descriptive statistics and its implications in finance. Please use tables and graphics to support descriptive statistics.
Methodology and Findings Analysis- Demonstrate 2-3 models you conducted for estimating the volatility and Value at Risk for the selected time series data. Include equations, tables, charts, and graphs to demonstrate the modelling process and results. Compare results from different modelling processes and critically analyse their implications in the real finance world.
1. Aims and objectives of the report.
The rationale choice of the data and estimation period. A short brief of methodologies applies in the work and provides the outline structure of the report at the end of the section.
2. Literature Review on Market Risk Models. Literature review on various approaches in risk analysis, such as Historical Simulation, Value at Risk, simple variance/covariance approach, ARCH/GARCH models
3. Data Collection Source and data description. Descriptive statistics and its implications in finance. Please use tables and graphics to support descriptive statistics.
Methodology and Findings Analysis- Demonstrate 2-3 models you conducted for estimating the volatility and Value at Risk for the selected time series data. Include equations, tables, charts, and graphs to demonstrate the modelling process and results. Compare results from different modelling processes and critically analyse their implications in the real finance world.