refainspired.blogg.se - Financial risk manager courses

#FINANCIAL RISK MANAGER COURSES INSTALL#
#FINANCIAL RISK MANAGER COURSES SERIES#
#FINANCIAL RISK MANAGER COURSES DOWNLOAD#

Global Association of Risk Professionals.

Association of Insurance and Risk Managers in Industry and Commerce.

American Risk and Insurance Association.

Now, you're going to do a short exercise to practice getting data from FRED. The goal of financial risk management is to understand the magnitudes of these movements particularly on the downside. The plot of the data using a logarithmic scale shows many ups and downs along the way. Of course this increase did not happen in a straight line. increased by more than 65 times from the end of 1979 to the end of 2017 assuming that all dividends are reinvested in U.S. What this tells us, is that the value of stocks in the U.S. It tells us the index value was 123.67 on December 29th, 2017. We can use the tail function in R to display the last three lines of data. We will use these index value to calculate returns in just a few minutes. When the index value went from 1.90 on December 31st, 1979 to 1.86 on January 2nd, 1980, it is saying that the value of all stocks in the U.S. It is the change of the index value that is informative. Note that the level of the index does not mean anything. We can see that the total return index has a value of 1.90 on December 31st, 1979,1.86 on January 2nd, 1980 and 1.88 on January 4th, 1980. We can use the head function to display the first three lines in Wilsh. It is always good practice to display some of the data just to make sure it is what we want. TR stands for total return, because this Wilshire index includes price appreciation as well as dividends from holding the stocks. In the fifth line, we will give the name TR to our data. This is the reason for stopping at the end of 2017, so you can reproduce these results on your own.

The reason we stop at the end of 2017 is this FRED updates the database each day, so if we use all available data, then the result will change over time. Now, in real life application, we'll want to use all of the available data. The fourth line keeps only the data from the end of 1979 to the end of 2017. In risk management we're interested in short term movements of our portfolio. The daily status starts at the end of 1979. But it only has data at the end of each month for the first 10 years. In the case of the Wilshire index, it will start in 1970. A second thing I have to tell you is that, when the data come back from FRED, you get all the data from the first available date until the latest date available. So, the third line uses the na.omit function to delete all dates with NAs. If there is no data for a given day for example it is a holiday, FRED returns NA for not available. FRED gives you data for each day of the week. One thing I need to tell you is that we have asked for a daily series. We will put the data into an R object called Wilsh.

#FINANCIAL RISK MANAGER COURSES SERIES#

In this case, we want the Will5000IND series from the FRED database. At a minimum, you will need to provide the name and the source of the data series you want. I will not go through all the details of the getSymbols function. The getSymbols function can retrieve data from FRED and also from Yahoo Finance and a few other data sources. The second line retrieves the data using the getSymbols function in the quantmod package.

#FINANCIAL RISK MANAGER COURSES INSTALL#

As a reminder, you will need to install the quantmod package before you can load it using the library command. The first line loads quantmod package using the library command. Let me go through these five lines of Rcommands very briefly. Rcommands are in blue and but Rreturns is in black. Before I start, let me just say that the white box is just like the console in RStudio. Here are a few lines of our commands to do this. But, it is easier to use R to retrieve the data directly.

#FINANCIAL RISK MANAGER COURSES DOWNLOAD#

You can download the data by going to the website given on this slide. The portfolio is valuated which means that, the portfolio holds the amount of each stock in proportion to their market capitalization. This index represents a portfolio that invests in every single stock that trades in the U.S. We will use the Wilshire 5,000 Total Market Return Index. As I was saying, we will assume that we want to understand the risk of a portfolio of stocks. In this course, we're going to use some of the data from FRED. There are also lots of financial data including exchange rates, interest rates, commodity prices, and stock market indices. There are macro-economic data such as GDP growth, unemployment rates, money supply. One very useful source of publicly available data is the database maintained by the Federal Reserve Bank of St. As an example, this course will assume that you're working with a portfolio of U.S. This can be a portfolio of stocks or a combination of stocks and bonds.

In particular, you will want the return of the portfolio whose risks you are studying. The first step is risk management is to start with some data.