Development of financial statistical tool from an academic paper

This project was successfully completed by saraiva for $250 USD in 15 days.

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$30 - $250 USD
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15 days
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Project Description


I require someone with appropriate mathematical / statistical understanding to develop a tool outlined in an academic paper. The development is primarily built on principal components analysis. The paper is entitled "Principal Components as a Measure of Systemic Risk" by Kritzman, Li, Page and Rigobon (attached). The model is relatively straightforward.

Notwithstanding calculation efficiency may be impaired, I require this to be developed in Excel. The model must be straightforward and intuitive as possible for a layman to at least understand the process.

Financial data can be provided. Ideally I would like the data in the report to be reproduced. Preference given to those with previous quantitative finance experience.

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