Backtesting and Stress Testing for Modeling a Trading Strategy and Risk Management

Student: Korneev Georgiy

Educational Programme: Business Informatics (Bachelor)

Year of Graduation: 2020

The main objective of this study is to analyze methods such as stress testing and backtesting (testing based on historical data), and their impact on the performance of some key areas in financial sphere. The issue involves a theoretical (contemporary studies of the subject area) and practical research based on such software instruments as Python, Statistica and R. To achieve this goal, it is considered to use some essential features of the studied methods, conduct various tests based on collected data, as well as a comparative analysis of the results with existing studies. The project is intended to cover company’s or individual’s trading strategy in financial area and risk management in order to experimentally work out the optimal path of development and investment.

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