Financial Risk Management

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Download daily data from each of the 4 financial crises in the past decade
Calculate expected returns:
(a) Calculate daily log returns
(b) Calculate mean, standard deviation, skew & kurtosis
(c) Plot histogram of returns
(d) Calculate 100th lag auto correlation
(e) Plot auto correlations  against lag order
(f) Calculate 100th lag auto auto correlation  lagged returns
(g) Compute standardized returns
(h) Calculate mean, standard deviation, skew & kurtosis
(i) Discuss differences in (b), (d), (f), (g)
(j) Calculate daily 5, 10, 15 day non-overlapping returns
(k) Do the returns look more normal?

References

Akyüz, Y., &Boratav, K. (2003). The making of the Turkish financial crisis. World Development, 31(9), 1549-1566.

Korotayev, A. V., &Tsirel, S. V. (2010). A spectral analysis of world GDP dynamics: kondratieff waves, kuznets swings, juglar and kitchin cycles in global economic development, and the 2008–2009 economic crisis. Structure and Dynamics, 4(1).

Lane, P. R. (2012). The European sovereign debt crisis. The Journal of Economic Perspectives, 26(3), 49-67.

Reinhart, C. M., &Rogoff, K. S. (2008). This time is different: A panoramic view of eight centuries of financial crises (No. w13882). National Bureau of Economic Research.

 

 

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