Rohit Naidu

Statistical Risk Model

Started Sept. 14, 2022

Abstract or project description

Rohit's project is about applying statistical methods to financial data research, specifically in the risk management side of the business. The research will start with exploratory analysis, essentially, visualizations from histograms, boxplots, correlation heatmaps, etc. to show the statistical properties of asset information. Then, different probability models will be tested for their goodness of tracing the histograms. He will be using log returns for his research. At last, risk metrics such as Value-at-Risk and Expected Shortfall will be used to quantify the amount of expected portfolio loss.