AlexC0ffee / Value-at-Risk-VaR-
Some code related to the VaR matheology.
☆9Updated 6 years ago
Alternatives and similar repositories for Value-at-Risk-VaR-:
Users that are interested in Value-at-Risk-VaR- are comparing it to the libraries listed below
- Various risk analysis projects in R, applying extreme value theory, copula modeling, and value-at-risk backtesting to real world stock da…☆14Updated 4 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆21Updated 2 years ago
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆25Updated 7 years ago
- ☆16Updated 4 years ago
- This is a VaR and AVaR calculator for portfolio only with stocks using Monte Carlo Method.☆17Updated 7 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆20Updated 6 years ago
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Replication of key GARCH model papers☆33Updated 8 years ago
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 4 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆12Updated 6 years ago
- Construction of local volatility surface by using SABR☆27Updated 7 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- Semi-automatic analysis of a financial series using Python.☆11Updated 3 years ago
- Regime-Switching Model☆17Updated 7 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆14Updated 3 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Financial risk analysis on a stocks portfolio through the VaR (Value at Risk), using Monte Carlo Simulation and Multiple Linear Regressio…☆20Updated 4 years ago
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 5 years ago
- Estimation of realized quantities☆15Updated 5 years ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Updated 4 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 4 years ago
- Large Deviations for volatility options☆11Updated 5 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Updated 4 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- ☆18Updated 6 years ago