henryguoziheng / Value-at-Risk-Calculator
This is a VaR and AVaR calculator for portfolio only with stocks using Monte Carlo Method.
☆18Updated 7 years ago
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
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆14Updated 6 years ago
- 多因子模型相关☆21Updated 3 years ago
- 基于机器学习的多因子研究框架☆14Updated 4 years ago
- Risk Parity and Factors Model on multi asseet management☆21Updated 3 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- 量化FOF框架☆13Updated 6 years ago
- SABR Implied volatility asymptotics☆21Updated 4 years ago
- Construction of local volatility surface by using SABR☆28Updated 7 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆25Updated 2 years ago
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆25Updated 7 years ago
- ☆15Updated 3 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated last month
- ☆18Updated 8 years ago
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago
- Risk estimation algorithms☆30Updated 6 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆37Updated 4 years ago
- This paper aims to explore the time series’ proprieties of the features extracted by using the Principal Component Analysis (PCA) techniq…☆17Updated 5 years ago
- ☆18Updated 3 years ago
- This repository shows the application of PCA technique for risk factor modelling of financial securities.☆18Updated 4 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆50Updated 4 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆36Updated 4 years ago
- ☆50Updated 7 years ago
- my first factor-stock-selecting backtest function☆21Updated 4 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- HAR-RV Model For Realized Volatility☆29Updated 9 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated 11 months ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 6 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆14Updated 6 years ago
- three stochastic volatility model: Heston, SABR, SVI☆86Updated 6 years ago