Modelling Financial Risk with R


Block 1
  1. T1. Instroduction
  2. T2. Financial time series
  3. T3. Simple models for Value at Risk (VaR) and Expected Shartfall (ES)
  4. T4. Volatility clustering: VaR and ES
Block 2
  1. T5. VaR/ES for longer horizons
  2. T6. Stress tests
  3. T7. Backtesting



Michał Rubaszek i Marek Kwas. 2021. "Materials for the course Modelling Financial Risk with R", SGH, Warsaw (download)

R codes
  • Individual files: Topic1.R; Topic2.R; Topic3.R; Topic4; FunctionsBlock1.R; Topic5.R; Topic6.R; Topic7a.R; Topic7b.R; Topic7c.R; Topic8.R; FunctionsBlock2.R; LoadFundData.R; LoadWigData.R
  • Data: GPW.csv
  • All files in zip files:
  • Additional materials
    1. Danielsson J. 2011. Financial Risk Forecasting
    2. Wiley Dowd K., 2005. Measuring Market Risk, Wiley
    3. Alexander C., 2009. Market Risk Analysis, Wiley
    4. Jorion P., 2007. Value at risk, McGraw-Hill
    5. RiskMetrics - technical document: link
    6. PRIIP: regulation and diagram
    Useful links to R:


    Points can be collected for: