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