Alternatives and similar repositories for VaR-Backtesting

Users that are interested in VaR-Backtesting are comparing it to the libraries listed below

• johnsoong216 / pymarkowitz
  Mean Variance (Markowitz) Portfolio Optimization and Beyond
  ☆63Updated last year
• blaahhrrgg / equity-risk-model
  Attribution and optimisation using a multi-factor equity risk model.
  ☆31Updated last year
• viniesposito / py-mlfactor
  Rewriting the code in "Machine Learning for Factor Investing" in Python
  ☆89Updated 4 years ago
• QuhiQuhihi / project_Asset_Allocation
  quantitative asset allocation strategy
  ☆32Updated 6 months ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆37Updated 4 years ago
• emoen / Machine-Learning-for-Asset-Managers-Oslo-Bors
  ☆23Updated 3 years ago
• dpicone1 / Vasicek_CIR_HoLee_HullWhite_Models_Python
  Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes
  ☆52Updated 5 years ago
• druce / portfolio_optimization
  Portfolio optimization with cvxopt
  ☆40Updated 6 months ago
• Topaceminem / DCC-GARCH
  DCC GARCH modeling in Python
  ☆96Updated 5 years ago
• prmkowalski / filib
  Factor Investing Library
  ☆27Updated 2 years ago
• luphord / nelson_siegel_svensson
  Implementation of the Nelson-Siegel-Svensson interest rate curve model.
  ☆120Updated last year
• fp1acm8 / Analysis-of-Financial-Time-Series
  Semi-automatic analysis of a financial series using Python.
  ☆13Updated 3 years ago
• tzhangwps / Turbulence-and-Systemic-Risk
  Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…
  ☆25Updated 5 months ago
• clf110510 / stochastic-volatility
  three stochastic volatility model: Heston, SABR, SVI
  ☆90Updated 6 years ago
• nkonts / replication-the-virtue-of-complexity-in-return-prediction
  Replication of https://ssrn.com/abstract=3984925
  ☆43Updated last year
• Yizhan-Oliver-Shu / jump-models
  Statistical Jump Models in Python, with scikit-learn-style APIs
  ☆82Updated 6 months ago
• sanjeevai / multi-factor-model
  Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…
  ☆132Updated 6 years ago
• yolsever / ML-in-equity-prediction
  My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"
  ☆49Updated 5 years ago
• duffau / RNN_GARCH
  Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model
  ☆69Updated 5 years ago
• Robin-Guilliou / Option-Pricing
  Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…
  ☆81Updated 3 years ago
• QuhiQuhihi / regime_model
  detecting regime of financial market
  ☆39Updated 2 years ago
• jerryxyx / MonteCarlo
  A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM
  ☆113Updated 6 years ago
• rkohli3 / TSMOM
  Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.
  ☆67Updated 2 months ago
• iankhr / armagarch
  ARMA-GARCH
  ☆97Updated last year
• ymh1989 / SABR_local_vol
  Construction of local volatility surface by using SABR
  ☆30Updated 8 years ago
• bernhard-pfann / pca-yield-curve-analytics
  Predictive yield curve modeling in reduced dimensionality
  ☆43Updated 2 years ago
• deepintomlf / mlfbook
  ☆73Updated 3 years ago
• mfrdixon / Deep_Fundamental_Factors
  Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677
  ☆64Updated 3 years ago
• Sidhus234 / Hurst-Exponent-Trading-Strategy
  ☆40Updated 4 years ago
• omartinsky / BlackLitterman
  Implementation of the famous Black-Litterman model in Jupyter notebook
  ☆40Updated 5 years ago