HongzoengNg / KMVmodelLinks
This Model is created to describe the credit risk of a listed company
☆25Updated 8 years ago
Alternatives and similar repositories for KMVmodel
Users that are interested in KMVmodel are comparing it to the libraries listed below
Sorting:
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 5 years ago
- DCC GARCH modeling in Python☆96Updated 5 years ago
- BSc Thesis on the Garch-Midas model☆27Updated 3 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆70Updated 5 years ago
- empirical asset pricing☆47Updated last year
- The code implements FamaMacbeth regression as in Fama & MacBeth (1973)☆20Updated 5 years ago
- Barra-Multiple-factor-risk-model☆143Updated 8 years ago
- 系统性风险指标计算☆10Updated 5 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 7 years ago
- Campisi纯债型基金业绩归因模型程序,适用于中国市场,需要有Wind的API接口权限☆41Updated last year
- Implemented some mathematical processings used in the Barra risk model☆30Updated 2 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆122Updated 5 years ago
- Implementation of a variety of Value-at-Risk backtests☆41Updated 6 years ago
- Implementation of 5-factor Fama French Model☆130Updated 4 years ago
- Multivariate DCC-GARCH model☆16Updated 6 years ago
- Machine Learning-Driven Quantamental Investing☆138Updated 5 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆31Updated 3 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆28Updated 2 years ago
- A risk evaluation program that follows BARRA's CNE6 and USE4 risk model to predict the risk and distribution of factors in a portfolio. C…☆67Updated 4 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
- 一个基于中国市场的Fama-French五因子实证研究☆36Updated 3 years ago
- It is a project that conducts a study on predicting the cross section of Chinese stock market returns with a large panel of 75 individual…☆32Updated 4 years ago
- ☆16Updated 8 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆21Updated 7 years ago
- An internship project: Implement Barra model to take risk or style factor attribution based on multi-factor model.☆65Updated 7 years ago
- This is a VaR and AVaR calculator for portfolio only with stocks using Monte Carlo Method.☆18Updated 7 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆90Updated 4 years ago
- ARMA-GARCH☆97Updated last year