BayerSe / VaR-BacktestingLinks
Implementation of a variety of Value-at-Risk backtests
☆37Updated 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:
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 4 months ago
- ☆18Updated 8 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- SABR Implied volatility asymptotics☆22Updated 5 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
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- quantitative asset allocation strategy☆27Updated 5 months ago
- Portfolio optimization with cvxopt☆38Updated 5 months ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- This paper aims to explore the time series’ proprieties of the features extracted by using the Principal Component Analysis (PCA) techniq…☆18Updated 5 years ago
- Multivariate GARCH modelling in Python☆16Updated 7 months ago
- HAR-RV Model For Realized Volatility☆29Updated 9 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆63Updated last year
- Mean-Variance Optimization using DL (pytorch)☆31Updated 3 years ago
- Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Eu…☆27Updated 2 weeks ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆28Updated 6 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Updated 6 years ago
- ☆22Updated 3 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIs☆75Updated 5 months ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆57Updated last year
- Implements different approaches to tactical and strategic asset allocation☆36Updated 6 months ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- Implementation of the famous Black-Litterman model in Jupyter notebook☆40Updated 4 years ago
- Replication of https://ssrn.com/abstract=3984925☆38Updated last year