Volatility modelling and market risk analysis
Preface
1
Financial market
1.1
Capital market and money market
1.2
Market effectiveness
2
Data
2.1
Sources of financial data
3
Return rates
3.1
Return rates – definitions
3.1.1
Total return
3.1.2
Rate of return
3.1.3
Log returns
3.2
Margin trading
3.3
Short sales
3.4
Exercises
4
Descriptive statistics
4.1
Distribution of a single feature
4.1.1
Averages
4.1.2
Average geometric return, CAGR
4.1.3
Variance and standard deviation
4.1.4
Skewness / asymmetry
4.1.5
Kurtosis
4.2
Measuring association
4.2.1
Covariance
4.2.2
Correlation
4.3
Ćwiczenia
5
Distributions
5.1
Normal distribution
5.2
Student t distribution
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Volatility modelling and market risk analysis – course notes
Chapter 2
Data
2.1
Sources of financial data