Risicofactoren en de financiële crisis

Create Your Free Account

or

By continuing, you accept our Terms of Use, our Privacy Policy and that your data is stored in the USA.

Deze oefening maakt deel uit van de cursus

Kwantitatief risicobeheer in Python

SkillTag.level.advancedSkillTag.label

4.8+

Begin de cursus gratis

Risk management begins with an understanding of risk and return. We’ll recap how risk and return are related to each other, identify risk factors, and use them to re-acquaint ourselves with Modern Portfolio Theory applied to the global financial crisis of 2007-2008.

Exercise 1: Welkom!Exercise 2: Portefeuillerendement tijdens de crisis Exercise 3: Covariantie van activa en portefeuillevolatiliteit Exercise 4: Risicofactoren en de financiële crisis

Huidige oefening

Exercise 5: Introductie frequentieresampling Exercise 6: Correlatie van risicofactoren visualiseren Exercise 7: Kleinste-kwadraten factormodel Exercise 8: Moderne portefeuilletheorie Exercise 9: Oefenen met PyPortfolioOpt: rendementen Exercise 10: Oefenen met PyPortfolioOpt: covariantie Exercise 11: De financiële crisis opdelen Exercise 12: De efficiënte grens en de financiële crisis

Now it’s time to expand your portfolio optimization toolkit with risk measures such as Value at Risk (VaR) and Conditional Value at Risk (CVaR). To do this you will use specialized Python libraries including pandas, scipy, and pypfopt. You’ll also learn how to mitigate risk exposure using the Black-Scholes model to hedge an options portfolio.

Exercise 1: Measuring Risk Exercise 2: VaR for the Normal distribution Exercise 3: Comparing CVaR and VaR Exercise 4: Which risk measure is "better"?Exercise 5: Risk exposure and loss Exercise 6: What's your risk appetite?Exercise 7: VaR and risk exposure Exercise 8: CVaR and risk exposure Exercise 9: Risk management using VaR & CVaR Exercise 10: VaR from a fitted distribution Exercise 11: Minimizing CVaR Exercise 12: CVaR risk management and the crisis Exercise 13: Portfolio hedging: offsetting risk Exercise 14: Black-Scholes options pricing Exercise 15: Options pricing and the underlying asset Exercise 16: Using options for hedging

In this chapter, you’ll estimate risk measures using parametric estimation and historical real-world data. You'll then discover how Monte Carlo simulation can help you predict uncertainty. Lastly, you’ll learn how the global financial crisis signaled that randomness itself was changing, by understanding structural breaks and how to identify them.

Exercise 1: Parametric Estimation Exercise 2: Parameter estimation: Normal Exercise 3: Parameter estimation: Skewed Normal Exercise 4: Historical and Monte Carlo Simulation Exercise 5: Historical Simulation Exercise 6: Monte Carlo Simulation Exercise 7: Structural breaks Exercise 8: Crisis structural break: I Exercise 9: Crisis structural break: II Exercise 10: Crisis structural break: III Exercise 11: Volatility and extreme values Exercise 12: Volatility and structural breaks Exercise 13: Extreme values and backtesting

It's time to explore more general risk management tools. These advanced techniques are pivotal when attempting to understand extreme events, such as losses incurred during the financial crisis, and complicated loss distributions which may defy traditional estimation techniques. You’ll also discover how neural networks can be implemented to approximate loss distributions and conduct real-time portfolio optimization.

Exercise 1: Extreme value theory Exercise 2: Block maxima Exercise 3: Extreme events during the crisis Exercise 4: GEV risk estimation Exercise 5: Kernel density estimation Exercise 6: KDE of a loss distribution Exercise 7: Which distribution?Exercise 8: CVaR and loss cover selection Exercise 9: Neural network risk management Exercise 10: Single layer neural networks Exercise 11: Asset price prediction Exercise 12: Real-time risk management Exercise 13: Wrap-up and Future Steps