Questions
- What is market risk and how can R help in measuring market risk? Please give an example.
- What are the ways of measuring risk associated with the portfolio?
- What are the most common ways of measuring VaR? Please construct a portfolio and find VaR using all the methods.
- How do you compute ES/CVAR in R?
- Construct a sample using normal and lognormal distribution using the Monte Carlo method and find the historical VaR for each of them.
- How do you find component and marginal VaR for a portfolio in R?
- What is credit scoring and how do you execute it in R? Construct an example and build a scoring example along with validation.
- What are the ways to identify fraud? How do you execute them in R?
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