Find some interesting financial time series, preferably one of your own, and estimate VaR for at least two different time periods, and with at least thee metods (by assuming normality, by the block maxima method and by the Peaks over Thresholds method). Comment on differences and similarities of the results.
An list of software for extreme value analysis can be found at the bottom of the announcement for the software session for the Extreme value conference in Gothenburg this summer. There are many R-courses available on the internet.
Many financial time series can be found at the federal reserve releases page and at YAHOO! Finance.
S+ at elevsystemet is started by writing Splus, and one exits by q(). Help may be accessed by typing ?. There is also a new graphical interface which is accessed by writng Splus -g. It is unclear how well this works at present. Patrik Albin's kompendium till kursen i statistisk databehandling inehåller ett avsnitt (4.7) om S+.
The main address is http://www.R-project.org/ which contains links for downloading. The program for running in a PC is extremely easy to download and install. Click on
CRAN
Windows
base
SetupR.exe
and it will downlod and install itself.
For Unix, it is a bit more difficult, since it needs to be compiled.
The PC and Unix versions are completely interchangeble, no changes needed to run the programs in one or the other.
Each group must midway into the project book time with the teachers for a brief discussion of the project plan. A short written outline of the plan should be handed in at least two days before the meeting.
The project results should presented in a short report, which should be intended for the eyes of an imaginary risk manager who knows little about VaR and less about statistics. In particular it should contain a popular "Executive summary" and a few carefully selected graphs with well thought out and selfcontained headings. (Some tips on reportwriting, written for another course, are available here).
The two project reports should be sent to me separately and electronically. The file names should include the group number, the names of the group members, and the title of the project, abbreviated as much as possible. The front page of the report should include the full title of the project, full names of the group members, and a brief summary of who has done what. Pdf files are much preferred to other formats. A signed paper copy of the front page should be given to me.