Quantitative Risk Management in Python
Jamsheed Shorish
Computational Economist
Risk exposure: measure of possible portfolio loss
Example: Flood Insurance
Systematic risk: risk factor(s) affecting volatility of all portfolio assets
Airplane engine failure: systematic risk!
Examples of financial systematic risk factors:
Idiosyncratic risk: risk specific to a particular asset/asset class.
Turbulence and the unfastened seatbelt: idiosyncratic risk!
Examples of idiosyncratic risk:
statsmodels.api
library for regression tools.OLS()
object and its .fit()
method.summary()
method
import statsmodels.api as sm
regression = sm.OLS(returns, delinquencies).fit()
print(regression.summary())
Quantitative Risk Management in Python