VermeirJellen / Financial_Risk_Modeling_Research
Practical applications towards risk-centric portfolio management
☆43Updated 8 years ago
Alternatives and similar repositories for Financial_Risk_Modeling_Research:
Users that are interested in Financial_Risk_Modeling_Research are comparing it to the libraries listed below
- ☆49Updated 9 years ago
- Daily kata from Quantitative Investment Portfolio Analytics In R☆13Updated 5 years ago
- ☆45Updated 8 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 4 years ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆48Updated 6 years ago
- Replication of key GARCH model papers☆33Updated 9 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆24Updated 4 years ago
- ☆43Updated 6 months ago
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- Pricing the Term Structure with Linear Regressions☆37Updated 7 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆20Updated 6 years ago
- Realized Volatility Forecasting modeling☆14Updated 7 years ago
- Functions built on material from Columbia's Coursera courses on Financial Engineering and Risk Management (I & II).☆17Updated 7 years ago
- Class materials of Credit Risk Management taught by prof. Ed Hayes☆11Updated 7 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆66Updated 5 years ago
- Elements of Financial Risk Management in Python☆12Updated 4 years ago
- ☆23Updated 7 years ago
- Repository for teachings on Quant Finance☆49Updated 5 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆156Updated 6 years ago
- QuantInsti EPAT: Final Project on Statistical Arbitrage☆113Updated 7 years ago
- Python tools to quantitatively manage financial risk☆65Updated 5 years ago
- Fama French 3 Factor Model☆40Updated 9 years ago
- In-class exercises in R☆11Updated 8 years ago
- This project explores the way to construct the multiple factor risk model to calculate the risk contribution of each factor and the total…☆72Updated 7 years ago
- MSGARCH R Package☆81Updated 2 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- ☆86Updated last month
- Web GUI for backtesting pair trading statistical arbitrage portfolio strategies☆26Updated 8 years ago
- My replication of financial papers.☆19Updated 6 years ago