Date of Award

5-2021

Degree Type

Creative Project

Degree Name

Master of Science (MS)

Department

Economics and Finance

Committee Chair(s)

Tyler Brough (Committee Chair)

Committee

Tyler Brough

Committee

Ben Blau

Committee

Paul Fjeldsted

Abstract

While there are many Python packages that provide ways to do data analysis, in fact the package utilizes pandas, numpy, and scipy heavily, there are few that apply and handle common tasks that analysts face in quantifying market risk. pyfolio is one of those packages, however it forces you to utilize their infrastructure package Zipline where as risk_dash aims to provide a framework to formalize the data flow while being totally customizable for the analyst. risk_dash is comprised of classes and methods to handle the data flow and calculation of market risk metrics at the asset and portfolio level. In use, this package should ease the developer’s work in building a comprehensive risk analytics application and specifying the underlying risk distribution. This package does not aim to generate trade ideas, but quantify the market risks portfolios of securities face. Included is an example of an application that utilizes this framework focusing on an equity portfolio.

Download

Share

COinS

Copyright for this work is retained by the student. If you have any questions regarding the inclusion of this work in the Digital Commons, please email us at .