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This repository contains the code and notebook for learning basic financial risk management. It contains the following notebooks: - Stock_analysis.ipynb - Basic plotting: Candle plot, OHLC Chart - Moving average: Simple moving average, Exponential moving average - Trend reversal: MACD, Bollinger Bands - Backtesting: PSAR strategy, Fast and Slow Stochastic Oscillators - Denoising: Kalman filters and Wavelet Transform - Portfolio_analysis.ipynb: - Portfolio construction: Portfolio standard deviation, Portfolio returns - Capital Asset Pricing Model - Beta - Sharpe Ratio - Traynor ratio - Jensen’s measure - Alpha - VAR.ipynb: - Historical VaR - Historical Drawdown - Analysis using ffn library - Fund performances - Rebasing of funds - Time_series_analysis.ipynb: - time series modeling - MA, AR Models - ARIMA Models - Paremetric VaR - Emperical VaR
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