Alternatives and similar repositories for Value-at-Risk-Calculator

Users that are interested in Value-at-Risk-Calculator are comparing it to the libraries listed below

• n4tg / MSGARCH_comp
  Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.
  ☆25Updated 8 years ago
• Bradleydi / Risk-Models
  Risk estimation algorithms
  ☆30Updated 7 years ago
• ymh1989 / SABR_local_vol
  Construction of local volatility surface by using SABR
  ☆30Updated 8 years ago
• Zhehao97 / RiskParityFactorModel
  Risk Parity and Factors Model on multi asseet management
  ☆23Updated 4 years ago
• JackJacquier / SABR-Implied-Volatility
  SABR Implied volatility asymptotics
  ☆23Updated 5 years ago
• eiahb3838ya / AlphaSignalFromMachineLearning
  ☆15Updated 4 years ago
• Topaceminem / DCC-GARCH
  DCC GARCH modeling in Python
  ☆98Updated 5 years ago
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆15Updated 3 years ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆38Updated 4 years ago
• wolfws / sandbox-portfolio-optimization-cvxpy
  CVXPY Portfolio Optimization Sample
  ☆45Updated 8 years ago
• yuba316 / FactorBackTest
  my first factor-stock-selecting backtest function
  ☆23Updated 5 years ago
• clf110510 / stochastic-volatility
  three stochastic volatility model: Heston, SABR, SVI
  ☆91Updated 6 years ago
• Dengyi-CN / Quantitative_FOF_Multi_Factors_Framework
  量化FOF框架
  ☆13Updated 6 years ago
• BayerSe / VaR-Backtesting
  Implementation of a variety of Value-at-Risk backtests
  ☆42Updated 6 years ago
• creacentblue / industry_rotation
  一些研报的复现
  ☆12Updated 7 years ago
• FranklinMa810 / PortfolioManagement
  ☆16Updated 4 years ago
• coolgan / Quantitative-Finance
  Q-quant和因子投资实证汇总
  ☆22Updated 4 years ago
• tryggviy / barra_model
  This is an internship project aiming to make Attribution Analysis for general equity funds in China market
  ☆14Updated 7 years ago
• blaahhrrgg / equity-risk-model
  Attribution and optimisation using a multi-factor equity risk model.
  ☆33Updated last year
• a1137261060 / Multi-Factor-Models
  多因子模型相关
  ☆22Updated 4 years ago
• duffau / RNN_GARCH
  Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model
  ☆71Updated 6 years ago
• QuantLet / MLvsGARCH
  ☆20Updated 9 months ago
• fabriziobasso / PCAapplied_and_European_Yield_Curve
  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
• dpicone1 / Vasicek_CIR_HoLee_HullWhite_Models_Python
  Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes
  ☆52Updated 5 years ago
• iankhr / armagarch
  ARMA-GARCH
  ☆99Updated 2 years ago
• fp1acm8 / Analysis-of-Financial-Time-Series
  Semi-automatic analysis of a financial series using Python.
  ☆13Updated 3 years ago
• JackJacquier / Heston-normal-and-rough
  European and Forward-start option pricing and implied volatility in the Heston and rough Heston model
  ☆22Updated 5 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆23Updated 3 years ago
• alaameloh / Stock-Risk-Analysis
  Financial risk analysis on a stocks portfolio through the VaR (Value at Risk), using Monte Carlo Simulation and Multiple Linear Regressio…
  ☆22Updated 5 years ago
• Neural-Finance / XGboost_Index-Enhancement-Strategy
  【Framework】A Multi Factor Strategy based on XGboost, its my homework project in Tsinghua, the Introduction to Quantitative Finance, 2019 …
  ☆17Updated 2 years ago