Financial-Risk

Repository for the course 'Financial Risk' at Gothenburg University.
The course consisted of two technical projects.

Technical Project 1

Estimating Value-At-Risk (VaR) and Expected-Shortfall using two different methods, Peaks-Over-Threshold (PoT) and Block-Maxima (BM).
The data consists of daily closing prices of the SAS stock between 2006 and 2021.

Technical Project 2

Credit Risk. Comparing the Beta Binomial and the Logit Normal distributions for estimating VaR using Large Portfolio Approximation.
Using Monte Carlo simulation to estimate VaR and comparing to LPA.