Implementation of a variety of Value-at-Risk backtests
☆43May 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:
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆13Apr 24, 2020Updated 6 years ago
- 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
- Statistical tests for Value at Risk (VaR) Models.☆16Mar 21, 2026Updated 5 months 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.
- TVP VAR Workshop☆13Feb 26, 2020Updated 6 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆11Sep 18, 2020Updated 5 years ago
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆12Jun 22, 2021Updated 5 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆24Nov 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 4 months ago
- WQU capstone project - short term currency trading strategy utilizing machine learning☆12Dec 8, 2022Updated 3 years ago
- This is a VaR and AVaR calculator for portfolio only with stocks using Monte Carlo Method.☆17Nov 28, 2017Updated 8 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Jan 28, 2021Updated 5 years ago
- Performing the Financial Analysis on Historic Stock Market Data such as calculating various risks, returns,etc.☆23Apr 19, 2018Updated 8 years ago
- Bayesian Estimation of a TVP-VAR Model☆19Jun 5, 2018Updated 8 years ago
- Financial risk analysis on a stocks portfolio through the VaR (Value at Risk), using Monte Carlo Simulation and Multiple Linear Regressio…☆21Nov 3, 2020Updated 5 years ago
- Finance 6470: Derivatives Markets☆10Apr 15, 2021Updated 5 years ago
- Listed Volatility and Variance Derivatives (Wiley Finance)☆166Jan 4, 2022Updated 4 years ago
- TENET: Tail-Event driven NETwork Risk☆52Oct 21, 2025Updated 10 months ago
- This repository provides a Python Notebook and resources for calibrating the parameters of the Heston model using observed Call Option pr…☆12Sep 17, 2024Updated last year
- Some jupyter notebooks on various topics☆12Oct 13, 2019Updated 6 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.
- Manuel Touyaa's porfotlio of Python projects/assignments for Finance Market Risk.☆15Mar 5, 2022Updated 4 years ago
- CoVaR estimation via quantile regression☆27Jan 30, 2018Updated 8 years ago
- Multivariate GARCH modelling in Python☆16Jul 1, 2026Updated last month
- ☆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
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆25Apr 27, 2018Updated 8 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
- Built quantitative models to measure value at risk (VaR) and Expected Shortfall (ES).☆13Aug 30, 2018Updated 8 years ago
- Deploy open-source AI quickly and easily - Special Bonus Offer • AdRunpod Hub is built for open source. One-click deployment and autoscaling endpoints without provisioning your own infrastructure.
- 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
- 🧮 A deeper look into the Kelly Criterion☆49Aug 15, 2023Updated 3 years ago
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019☆23May 31, 2020Updated 6 years ago
- ☆26Sep 19, 2021Updated 4 years ago
- Using Bidirectional Generative Adversarial Networks to estimate Value-at-Risk for Market Risk Management using TensorFlow.☆98Feb 15, 2023Updated 3 years ago
- Various risk analysis projects in R, applying extreme value theory, copula modeling, and value-at-risk backtesting to real world stock da…☆15Jan 5, 2021Updated 5 years ago