Date of Award
Master of Science (MS)
Economics and Finance
Tyler Brough (Committee Chair)
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.
van Oene, Alexander, "Risk_dash, A Python Framework to Model Portfolio Risk" (2021). All Graduate Plan B and other Reports. 1535.
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