Proposed solutions to selected exercises in the book "Value-at-Risk: Theory and Practice" (2nd edition) by Glyn A. Holton.
This is a collection of examples, aimed at showing how selected exercises from the book "Value at Risk - Theory and Practice" (2nd edition) by Glyn A. Holton can be resolved by programming in the Scala language. The ScalaNLP Breeze library is used for matrix algebra and basic statistics, whereas some solutions also make use of Apache Spark.
The repository is structured in the same way as the book, which is available online at https://www.value-at-risk.net/
Chapter 01: Value-at-Risk
Chapter 02: Mathematical Preliminaries
Chapter 03: Probabilities
Chapter 04: Statistics and Time Series
Chapter 05: Monte Carlo Method
Chapter 06: Historical Market Data
Chapter 07: Inference
Chapter 08: Primary Portfolio Mappings
Chapter 09: Portfolio Remappings
Chapter 10: Transformation Procedures
Chapter 11: Historical Simulation
Chapter 12: Implementing Value-at-Risk
Chapter 13: Model Risk, Testing and Validation
Chapter 14: Backtesting
Each proposed exercise solution is a separate Scala application. Navegate to its directory (for example "chapter01"), start sbt and run the app. If the chapter contains more than one exercise, sbt will show a list of exercises to choose from.
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