Risk Analysis and financial transformations - R SOLUTIONS

Skills of building financial econometrics models in evaluating market risks and forecasting financial time series trend. Need to present skills in presenting and interpreting the outcome for implications in finance. You 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. You 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 100 observations Detailed marking scheme and instructions:

1.Aims and objectives of the report.

Rationale of your choice of the data and estimation period. Short brief of methodologies applies in the work and provide the outline structure of the report at the end of the section.

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

2.3. Data Collection Source and data description. Descriptive statistics and its implications in finance. Please use tables and graphics to support your 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. 4.