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:

• NBP
• Orlen

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.