Stock Portfolio Market Risk Assessment Models

Student: Vladislav Elesin

Educational Programme: Business Analytics in Economics and Management (Master)

Year of Graduation: 2024

In this work, models that are useful for assessing a stock portfolio's market risk. Based on the tenets of the theory of arbitrage pricing (APT), the first model considers the influence of risk variables on changes in stock prices, while the second model looks at how volatility swings affect a stock portfolio's level of market risk (GARCH). The goal of this study is to create and apply models that are able to accurately evaluate market risk of portfolio consisting of S&P 500 stocks. As a result of this work, models will be created in python and tested via historical data to determine their benefits and drawbacks. The effectiveness of these models will be assessed using coverage and independence backtests. Risk metric used is the portfolio's VaR.

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