BayerSe / VaR-BacktestingLinks
Implementation of a variety of Value-at-Risk backtests
☆42Updated 6 years ago
Alternatives and similar repositories for VaR-Backtesting
Users that are interested in VaR-Backtesting are comparing it to the libraries listed below
Sorting:
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆93Updated 4 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆64Updated last year
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆122Updated 2 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 10 months ago
- Attribution and optimisation using a multi-factor equity risk model.☆35Updated last year
- DCC GARCH modeling in Python☆100Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆92Updated 6 years ago
- ☆79Updated 4 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆116Updated 6 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆71Updated 6 months ago
- ☆24Updated 4 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- Factor Investing Library☆28Updated 3 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 4 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆50Updated 5 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆143Updated 4 years ago
- Replication of https://ssrn.com/abstract=3984925☆53Updated last year
- quantitative asset allocation strategy☆34Updated 11 months ago
- Implementation of 5-factor Fama French Model☆137Updated 4 years ago
- Alpha Generation using Data Science and Quantitative Analysis with integrated Risk Model☆52Updated 5 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆135Updated 6 years ago
- https://arxiv.org/abs/1805.01104☆121Updated 5 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆62Updated 2 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆125Updated 2 months ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- Implements different approaches to tactical and strategic asset allocation☆43Updated last year
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year