Implementation of a variety of Value-at-Risk backtests
☆46May 25, 2019Updated 7 years ago
Alternatives and similar repositories for VaR-Backtesting
Users that are interested in VaR-Backtesting are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- The Value at Risk (VaR) calculation, Python version☆10Nov 1, 2019Updated 6 years ago
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆124Feb 17, 2021Updated 5 years ago
- Portfolio Risk Assessment leveraging Probabilistic Deep Neural Networks☆23Apr 16, 2025Updated last year
- TVP VAR Workshop☆13Feb 26, 2020Updated 6 years ago
- I use TVP-VAR methodology with a stochastic volatility model to investigate the forecasting performance on macroeconomic variables. In pa…☆10Nov 17, 2019Updated 6 years ago
- Serverless GPU API endpoints on Runpod - Get Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- This project is developed in Python and it proposes the development of a Bayesan Network to infer the probabilities of serious floods in …☆19Sep 16, 2022Updated 4 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆11Sep 18, 2020Updated 6 years ago
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆12Jun 22, 2021Updated 5 years ago
- 致力于多因子，AI策略，可盈利模型的研究☆12Apr 14, 2023Updated 3 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆26Nov 14, 2020Updated 5 years ago
- Measure market risk by CAViaR model☆16Dec 15, 2024Updated last year
- [Quantitative Finance 2019] Sovereign Risk Zones in Europe During and After the Debt Crisis☆12May 12, 2020Updated 6 years ago
- This is a read-only mirror of the CRAN R package repository. PerformanceAnalytics — Econometric Tools for Performance and Risk Analysis…☆16Apr 11, 2026Updated 5 months ago
- WQU capstone project - short term currency trading strategy utilizing machine learning☆12Dec 8, 2022Updated 3 years ago
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- Listed Volatility and Variance Derivatives (Wiley Finance)☆168Jan 4, 2022Updated 4 years ago
- This is a VaR and AVaR calculator for portfolio only with stocks using Monte Carlo Method.☆17Nov 28, 2017Updated 8 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Jan 28, 2021Updated 5 years ago
- Inference for Gaussian copula factor models and its application to causal discovery.☆14Feb 11, 2020Updated 6 years ago
- Chen et al., 2020, Diagnosing tunnel collapse sections based on TBM……, Tunneling and underground space.☆14Dec 14, 2020Updated 5 years ago
- Bayesian Estimation of a TVP-VAR Model☆19Jun 5, 2018Updated 8 years ago
- Transformer and MultiTransformer layers for stock volatility forecasting purposes☆78Aug 1, 2021Updated 5 years ago
- ☆11Nov 13, 2024Updated last year
- TENET: Tail-Event driven NETwork Risk☆52Oct 21, 2025Updated 11 months ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- This repository provides a Python Notebook and resources for calibrating the parameters of the Heston model using observed Call Option pr…☆12Sep 17, 2024Updated 2 years ago
- Some jupyter notebooks on various topics☆12Oct 13, 2019Updated 6 years ago
- Manuel Touyaa's porfotlio of Python projects/assignments for Finance Market Risk.☆15Mar 5, 2022Updated 4 years ago
- CoVaR estimation via quantile regression☆28Jan 30, 2018Updated 8 years ago
- Multivariate GARCH modelling in Python☆16Jul 1, 2026Updated 3 months ago
- ☆20May 17, 2020Updated 6 years ago
- This project is to apply Copula Function to pair trading strategy both in American stock market.☆30Oct 21, 2018Updated 7 years ago
- Simple VaR calculation in Python, both for single value and VaR series in time. Supported formulas at the moment include: Parametric Norm…☆40Mar 10, 2017Updated 9 years ago
- Intro To Bayesian Networks☆12Aug 25, 2016Updated 10 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆34Aug 18, 2020Updated 6 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆12Apr 18, 2020Updated 6 years ago
- 基于Python的金融分析与风险管理（第二版） 代码☆27Sep 21, 2023Updated 3 years ago
- Built quantitative models to measure value at risk (VaR) and Expected Shortfall (ES).☆13Aug 30, 2018Updated 8 years ago
- This project uses the Twitter API to pull the tweets in a JSON Format. It then uses Python and Flask to rate those tweets as happy, sad o…☆12Apr 19, 2021Updated 5 years ago
- ☆17Mar 23, 2021Updated 5 years ago
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago