VermeirJellen / Financial_Risk_Modeling_ResearchLinks
Practical applications towards risk-centric portfolio management
☆46Updated 9 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
Sorting:
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆52Updated 7 years ago
- Data Analysis Studies on Value Investing☆90Updated 4 years ago
- ☆47Updated 9 years ago
- ☆55Updated 4 months ago
- A framework for financial systemic risk valuation and analysis.☆177Updated 2 years ago
- ☆49Updated 10 years ago
- Multivariate DCC-GARCH model☆16Updated 7 years ago
- The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…☆160Updated 2 weeks ago
- QuantInsti EPAT: Final Project on Statistical Arbitrage☆117Updated 8 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆25Updated 4 years ago
- Replication of key GARCH model papers☆36Updated 9 years ago
- My replication of financial papers.☆20Updated 7 years ago
- Website dedicated to a book on machine learning for factor investing☆236Updated 2 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆170Updated 7 years ago
- Repository for simulation and estimation of CIR one factor model parameters☆12Updated 7 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆25Updated 7 years ago
- Functions built on material from Columbia's Coursera courses on Financial Engineering and Risk Management (I & II).☆16Updated 7 years ago
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆124Updated 4 years ago
- Covariance Matrix Estimation via Factor Models☆37Updated 6 years ago
- Repository for teachings on Quant Finance☆49Updated 6 years ago
- Pricing the Term Structure with Linear Regressions☆42Updated 7 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆44Updated 4 years ago
- https://arxiv.org/abs/1805.01104☆121Updated 5 years ago
- NYU Tandon lecture slides☆32Updated 6 months ago
- Implementations of the Heston stochastic volatility model☆24Updated 10 years ago
- Quantitative Trading with R☆200Updated 7 years ago
- Empirical Data and Some Simulation Codes☆108Updated 6 years ago
- Realized Volatility Forecasting modeling☆19Updated 8 years ago
- ☆18Updated 7 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago