gmanzog / DeepLearningCreditRiskModelingLinks
Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao
☆21Updated 3 years ago
Alternatives and similar repositories for DeepLearningCreditRiskModeling
Users that are interested in DeepLearningCreditRiskModeling are comparing it to the libraries listed below
Sorting:
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 3 years ago
- ☆67Updated 3 months ago
- ☆74Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆64Updated 6 months ago
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆118Updated 7 months ago
- Implementation of Modern Portfolio Theory and Black Litterman Model☆18Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆53Updated 2 years ago
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆97Updated last year
- Quant Research☆90Updated last month
- Entropy Pooling in Python with a BSD 3-Clause license.☆41Updated 11 months ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆58Updated 3 years ago
- Code that I show on my YouTube Channel☆103Updated 2 years ago
- implementation of the two-factor quintic OU model☆10Updated 6 months ago
- Portfolio optimization with cvxopt☆40Updated 8 months ago
- Multivariate GARCH modelling in Python☆16Updated 11 months ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆118Updated 3 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Implements Path Shadowing Monte Carlo (PSMC).☆81Updated 9 months ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Updated 2 years ago
- ☆24Updated last year
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Updated 2 years ago
- ☆50Updated 2 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 11 months ago
- Multivariate Volatility Models (ARCH) for stock prices and other time series☆20Updated last year