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  1. Risk-Package Risk-Package Public

    R Package to calculate VaR and ES

    R 1

  2. CreditMetricsProject CreditMetricsProject Public

    using the CreditMetrics method, calculate the VaR of credit for bonds of different countries, calculation of the portfolio value for each of the scenarios generated

    HTML 1 1

  3. SUR-model SUR-model Public

    seemingly unrelated regression equations

    HTML 1

  4. BankruptcyProject BankruptcyProject Public

    R: Bankruptcy prediction - Polish and Slovak companies

    HTML

  5. VARmodelGrangercausality VARmodelGrangercausality Public

    The aim of this project is to build a vector autoregressive model - VAR, causality in Granger's sense will then be examined.

    HTML

  6. VECM-model VECM-model Public

    transformation of the VAR model into a vector error correction model VECM

    HTML