An implementation on R of the EWMA filter for volatility by RiskMetrics™ (JPMorgan & Reuters 1996) This software use RiskMetrics™ volatility model to compute the risk associated with and asset's return.
Website of the project https://solbiatialessandro.github.io
- calculate the EWMA volatility with RiskMetrics formulas
- compute the Value at Risk with three diffrent methods: non parametric, returns distributed as a normal, returns distributed as a student's t
- binomial backtest of the Value at Risk correctness
- getPrice() to get an asset's price from yahoo.finance
- study() to compute the Value at Risk, Expected Shortfall and associated p-value of the time series
- display_study() to study different assets at the same time
##Reference for the project
The project has been developed based on the Techincal Document by JPMorgan and Reuters (specifically on chapter 5 https://www.msci.com/documents/10199/5915b101-4206-4ba0-aee2-3449d5c7e95a)
##Case studies
##Italian bank associated risk
The software has analysed the major banks in the FTSE.MIB and these are the Value at Risk obtained