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Value-at-Risk

Proposed solutions to selected exercises in the book "Value-at-Risk: Theory and Practice" (2nd edition) by Glyn A. Holton.

This is a collection of examples, aimed at showing how selected exercises from the book "Value at Risk - Theory and Practice" (2nd edition) by Glyn A. Holton can be resolved by programming in the Scala language. The ScalaNLP Breeze library is used for matrix algebra and basic statistics, whereas some solutions also make use of Apache Spark.

The repository is structured in the same way as the book, which is available online at https://www.value-at-risk.net/

Chapter 01: Value-at-Risk

Chapter 02: Mathematical Preliminaries

Chapter 03: Probabilities

Chapter 04: Statistics and Time Series

Chapter 05: Monte Carlo Method

Chapter 06: Historical Market Data

Chapter 07: Inference

Chapter 08: Primary Portfolio Mappings

Chapter 09: Portfolio Remappings

Chapter 10: Transformation Procedures

Chapter 11: Historical Simulation

Chapter 12: Implementing Value-at-Risk

Chapter 13: Model Risk, Testing and Validation

Chapter 14: Backtesting

Each proposed exercise solution is a separate Scala application. Navegate to its directory (for example "chapter01"), start sbt and run the app. If the chapter contains more than one exercise, sbt will show a list of exercises to choose from.

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Proposed solutions to selected exercises in the book "Value-at-Risk: Theory and Practice" (2nd edition) by Glyn A. Holton.

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