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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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Assign multiple weights to a portfolio

I have a dataset in excel that contains risk grade of customers. I have some survey data that projects proportion of customers with risk grade movements over a 3 month horizon. This is categorized into 3 groups. I am stuck at how to apply all 3…
user2641784
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cumulative incidence plot in R: function cuminc and the arguments 'rho'

I have made a cumulative incidence plot using cmprsk::cuminc and then ggcompetingrisks for plotting. I have a questions relates to cuminc and the arguments 'rho' (power of the weight function used in the tests). Is the default value '0' always the…
Steve
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log method produce NaNs despite na.omit

I want calculate the risk contribution of each stock of a portfolio. portfolioComponentReturns <- na.omit(Return.calculate(monthly_return, method = "log")) covariance_matrix <- cov(portfolioComponentReturns) # Square root of transpose of the…
Revolucion for Monica
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Adjusted risk plot

With the following dataframe: death <- c(1,0,1,0,0,0,0,1,0,0,0,1,1,0,1,0,0,1,0,1,1,1,1,0,1,1,1,0,0,1) age<-c (70,50,60,60,55,46,50,60,59,61,62,55,66,60,59,58,61,59,58,60,60,58,60,60,61,61,59,60,61,64) survival_time <-…
herbertus
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Optimum return probability Risk calculation

I have a trading system that I developed for Forex markets. When I analyze the results, I need to do an optimum level analysis to create my entry level. As seen in the picture; In the first trade result, the peak level (range value) was 50, and in…
Umit Terzi
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Why the MATLAB function **fitdist** does not include in the available range of distributions the Student-t?

Why the MATLAB function fitdist does not include in the available range of distributions the Student-t? Is there an other way of fitting the Student-t and estimate the degrees of freedom $\nu$?
Whitebeard13
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Calculating Value at Risk with performanceanalytics package

I tried to calculate the Value at Risk for a list auf Stock Returns. There are 1000 observations, but i wanted to calculate like the following: VaR for observation: 1 to 500 2 to 501 3 to 502 4 to 503 and 500 to 999 as you can see the result…
Alexander Hentschel
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How to combine VaR graphics?

I want to programm a rolling Value at Risk by hand. So I don't want to use the VaR from the PerformanceAnalytics package. I want to plot after calculations against the log-returns of a time series. Input: getSymbols('^GDAXI', src='yahoo',…
Nils
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Other engineering disciplines have rigorous process which addresses the major risks

Other engineering disciplines have rigorous process which addresses the major risks involved in the undertaking of any project. If software engineering is to borrow such a practice how can it add value?
user2014
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Baseball simulation/risk analysis using Model Risk

I'm trying to run a baseball simulation using the ModelRisk Excel add-in. I have a list of probabilities for every outcome of a batter being at bat (i.e. probability X for a home run, probability Y for a single, Z for a double, etc.), and I'd like…
John
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Highcharts chart with risk color background

I would like to create a chart that has dynamic elliptical areas as background. The background should visualize the risk and can be static but needs to render to different sizes of the chart of course. Does anybody have an idea on how to achieve…
Phil
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How can I calculate the Value at Risk of a portfolio 3 assets in Python? Do I have to use arrays?

How can I calculate the Value at Risk with 95% confidence for a Portfolio of 3 assets, simulating 360 daily returns. The assets have equal weights, asset 1 (mean = 0.001, stan dev = 0.02), asset 2 (mean = 0.002, stand dev = 0.03) and active 3 (mean…
Ande P
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riskRegression() function: confusing examples in R package riskRegression vignette

I am having trouble interpreting the riskRegression() function in the R package riskRegression: https://cran.r-project.org/web/packages/riskRegression/riskRegression.pdf I looked over the examples under this function in the package vignette, but…
user167591
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how to change color of censor tick and truncate KM curve if number at risk is < 5 using lifelines library?

Is it possible to change the colour of the censor tag in lifelines? The code-chunk that I used was kmf.plot_survival_function( show_censors=True, censor_styles={'ms': 5, 'marker': '|'}, at_risk_counts=True, ci_show=False ) And how…
Saheli Saha
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Is sharing your C:/Users name a security risk?

I was wanting to show a video of my python code working to someone but in this video I need to show my folders. C:\Users\etc\etc. Is giving the users bit a risk (obviously it's my windows name in place of 'users') because I often see tutorials…
user14530934
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