Risk analysis conducted for Inpost company: univariate, multivariate analysis, bactesting, VaR modelling, ...
Considered risk variables are:
- Diesel prices,
- petrol prices,
- currency exchange rates.
These are, according to me, the most important risk factors for logistic and transport company such like Inpost. The analysis was conducted for the period 2012-2022.
Data was collected from the following sources:
The analysis was conducted in Python. It consists of three different parts:
- Uni- and multivariate analysis of risk factors + backtesting,
- Minimal risk portfolio analysis,
- VaR modelling using different methods (historical, parametric, Monte Carlo, Garch, ...).
The corresponding files are:
I_risk_analysis.ipynb
,II_portfolio_analysis.ipynb
,III_VaR_modelling.ipynb
.
Project was conducted as a part of the course "Risk modelling" at Wrocław University of Science and Technology.