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Questions tagged [risk-analysis]

The tag should be used whenever the probability and/or the severity of one or multiple events should be quantified. It may refer to certain finance topics, but is not limited to that.

Risk analysis is the identification, assessment, and quantification of risks in terms of severity and probability for a certain event.

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Issue with calculation of cumulative incidence in R using tidycmprsk package

I am trying to calculate cumulative incidence in R. I used previously [published][1] code that worked perfectly on the R-related dataset but it didn't work on my dataset. Here is my code ## Published code ## library(tidycmprsk);…
Mohamed Rahouma
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What are the security risks of using an implemented built-in web browser control instead of the machine default browser?

I'm developing a WinForm application using Visual Studio 2015 (.Net 4.5). It's a Front-End with Microsoft Access Database 2016 "In development stage" [I will use Sql Server later in Testing and Production stages.] At some level, the project uses…
evry1falls
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Credit Risk Analysis_Feature selection_Duplicate values in Information Value and weight of evidence table python

WOE and IV are important concepts in credit risk analysis used to find out features which are relevant to predict whether or not a person is a possible loan defaulter. Lets say I have a person with some variables (could be age, income, past credit…
noob
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How to choose a Threshold for Peaks over Threshold method in R

I have a data set of financial data, and have made it into log returns, so all data is between -1 and 1. I am trying to use the following code: getSymbols("^IXIC",from="2016-11-11",to="2018-11-08") index<-as.vector(IXIC$IXIC.Close) logret <-…
plzhelplol
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Storing data with Python arrays (HAR-RV Credit Risk model implementation)

that's my first time here at Stack and I'm on my first days with Python. I'm dealing with the HAR-RV model, trying to run this equation but having no success at all to store my operations on the array Here what I'm trying to calculate: r_[t,i] =…
Luiz Alves
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Risk assessment models in R, in order to get the probability of specif levels of a factor

I am working as a risk analyst, my boss assigned me a task which I don't know how to do. Right now I want to get the probability under some specific conditions. For example, the data would look like this sex hair_color Credit_Score…
DIoo
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Competing risk regression with R

I am trying to run a competing risk with the cmprsk package but keep getting errors. The last one that I can not solve is this one: Error in solve.default(h, z[[2]]) : system is computationally singular: reciprocal condition number =…
David
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Loop inside loop (or preferably workaround) for monte carlo simulation

This question is related to one I asked in Cross Validated section, this however is focused strictly on R coding. I am trying to do monte carlo simulation to create Aggregated Yearly Loss Distribution. It draws random number of loss frequency from…
Alexandros
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Historical Simulation VaR in R: VaR calculation produces unreliable result (risk over 100%)

I am am trying to calculate VaR using the Historical Simulation method for the S&P500. I used the PerformanceAnalytics package with VaR(P1[1:1000], p =0.95, method = "historical") but I get an error message as below: VaR calculation produces…
user134919
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Risk evaluation for framework selection

I'm planning on starting a new project, and am evaluating various web frameworks. There is one that I'm seriously considering, but I worry about its lasting power. When choosing a web framework, what should I look for when deciding what to go…
digitaljoel
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Using 'PerformanceAnalytics' package to calculate Performance Measures

I need to use 'PerformanceAnalytics' package of R and to use this package, I understand that I need to convert the data into xts data, which is actually a panel data. Following this forum's suggestion I have done the following: library(foreign) RNOM…
Jairaj Gupta
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Lassosum: exclusively for continuous traits?

I am trying to understand the method lassosum proposed by Mak et al. (2017). For what I understand, the method is created to build Polygenic Scores based on GWAS summary statistics. However, I thought that the outcome could be of different types:…
a12456
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Statsmodel Zero Inflated Poisson doesn't converge (statsmodels.discrete.count_model.ZeroInflatedPoisson)

Lately, I've been working with a risk model in Python. My target variable is a frequency (float), which was calculated as freq = number of events/total exposition and my dataset is really unbalanced, so that the frequency distribution can be…
Lídia Gusmão
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Discrepancy between calculated p values

I am using survey package to calculate weighted Poisson regression however I am not sure that the weights are used in a correct way. Each observation of my dataset has been assigned a weight based on Propensity Score and subsequently…
user19745561
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Python code for estimation risk in Value at Risk

I am trying to write a python code for estimation risk as in the article by Escanciano and Olmo (2011). I need to simulate an ARCH(1) process using Monte Carlo simulation. But something is wrong with my code, probably in sigma_u in the test…
AL_23
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