This lecture was aiming at developping skills for studying time series data. The caracteristics of the yields of a stock were studied in order to calculate a parametric Value at Risk. Then the parametric Value at Risk has been backtested and compared to other VaRs (Normal, Historical and Cornish-Fisher).
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You can find codes and reports for the study of (1) the characteristics of the yields of a stock, and (2) the calculus of the VaR for this stock + backtesting of VaR
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