TommasoBelluzzo / BaselTools
A framework for estimating Basel IV capital requirements.
☆23Updated 5 years ago
Alternatives and similar repositories for BaselTools:
Users that are interested in BaselTools are comparing it to the libraries listed below
- A framework for historical volatility estimation and analysis.☆35Updated 4 years ago
- A framework for detecting misreported returns in hedge funds.☆16Updated 5 years ago
- Contains Python code and files used to estimate shadow rate using Krippner's K-ANSM(2) with an estimated lower bound term structure model☆14Updated 4 years ago
- An Excel integration of OpenGamma Strata.☆13Updated 3 years ago
- Forecasting Macroeconomic Parameters with Deep Learning Neural Networks - Final Year Peoject☆13Updated 6 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆28Updated 4 years ago
- Development space for PhD in Finance☆33Updated 5 years ago
- My replication of financial papers.☆19Updated 6 years ago
- Applied Macroeconomics, a course taught at the University of Warsaw☆20Updated 4 years ago
- ECON457 2018 Applied Computational Economics and Finance☆27Updated 7 years ago
- Yield Curve Modeling Using Dynamic Gaussian Processes☆17Updated 2 years ago
- ☆39Updated 6 years ago
- This repository will be used to organize all the codes and notes written on the Empirical asset pricing course given at the school of eco…☆11Updated 2 years ago
- Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.☆21Updated 5 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆24Updated 4 years ago
- Factor Investing Library☆26Updated 2 years ago
- Financial Library ( Economic Scenario Generator, Asset Liability Management, Pricing )☆29Updated last year
- Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.☆16Updated 5 years ago
- NYU Tandon lecture slides☆31Updated last week
- Behavioral Economics and Finance Python Notebooks☆19Updated 6 years ago
- Covariance Matrix Estimation via Factor Models☆33Updated 6 years ago
- A repository to explore the concepts of applied econometrics in the context of financial time-series.☆35Updated 5 years ago
- Material for a Python for Finance workshop at the University of Melbourne in 2018☆16Updated 7 years ago
- This project tries to replicate hedge funds returns.☆24Updated 6 years ago
- A MATLAB Realisation of Regime Switching Asset Allocation Strategy☆8Updated 7 years ago
- using the Inverse-Transform method to speed up options pricing simulations in R☆28Updated 5 years ago
- Various risk analysis projects in R, applying extreme value theory, copula modeling, and value-at-risk backtesting to real world stock da…☆15Updated 4 years ago
- A python library for generating macro-economic scenarios☆10Updated 4 months ago
- A Python library for generating analytic tests for credit portfolio loss distributions☆32Updated 4 months ago
- ☆10Updated 5 years ago