This is a VaR and AVaR calculator for portfolio only with stocks using Monte Carlo Method.
☆17Nov 28, 2017Updated 8 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
Sorting:
- Quool, a quantum financial tool, supporting native file data access, database access, crawler data access, and backtest together with ana…☆14Feb 6, 2026Updated last month
- Python class calculating VaR and Monte Carlo Simulation☆10Dec 30, 2019Updated 6 years ago
- 致力于多因子，AI策略，可盈利模型的研究☆13Apr 14, 2023Updated 2 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12May 30, 2021Updated 4 years ago
- 量化FOF框架☆13Mar 8, 2019Updated 6 years ago
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆12Jun 22, 2021Updated 4 years ago
- Built quantitative models to measure value at risk (VaR) and Expected Shortfall (ES).☆13Aug 30, 2018Updated 7 years ago
- the notebook component of a PySpark application to calculate value-at-risk for a portfolio of securities☆11Jan 14, 2017Updated 9 years ago
- Various risk analysis projects in R, applying extreme value theory, copula modeling, and value-at-risk backtesting to real world stock da…☆15Jan 5, 2021Updated 5 years ago
- 基于机器学习的多因子研究框架☆14Jun 22, 2020Updated 5 years ago
- 多因子打分选股☆13Jan 12, 2022Updated 4 years ago
- Risk estimation algorithms☆30Aug 4, 2018Updated 7 years ago
- Compute shrinkage estimates of the covariance matrix☆15Oct 12, 2015Updated 10 years ago
- ☆15Aug 21, 2021Updated 4 years ago
- This is an internship project aiming to make Attribution Analysis for general equity funds in China market☆14Jul 19, 2018Updated 7 years ago
- 量化研究-多因子模型☆23Jul 26, 2023Updated 2 years ago
- Implementation of a variety of Value-at-Risk backtests☆43May 25, 2019Updated 6 years ago
- my first factor-stock-selecting backtest function☆22Aug 15, 2020Updated 5 years ago
- Risk Parity and Factors Model on multi asseet management☆23Apr 6, 2021Updated 4 years ago
- 多因子选股框架☆26Dec 9, 2020Updated 5 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Sep 3, 2024Updated last year
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Jul 17, 2022Updated 3 years ago
- Semi-automated investing strategy (risk parity)☆28Oct 27, 2016Updated 9 years ago
- 重新造轮子构建投资组合框架，适合大类资产配置和股票交易。☆52Mar 24, 2018Updated 7 years ago
- Financial risk analysis on a stocks portfolio through the VaR (Value at Risk), using Monte Carlo Simulation and Multiple Linear Regressio…☆22Nov 3, 2020Updated 5 years ago
- Talk Materials for "Convex Optimization for Finance"☆30Dec 8, 2022Updated 3 years ago
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆28Aug 28, 2017Updated 8 years ago
- A library for portfolio optimization algorithms with python interface.☆31Jan 9, 2021Updated 5 years ago
- 多因子模型相关☆23Jun 16, 2021Updated 4 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆65Apr 25, 2024Updated last year
- 使用MATLAB开发的量化回测系统☆11Oct 21, 2018Updated 7 years ago
- 因子构建、单因子测试☆72Apr 4, 2021Updated 4 years ago
- Lasso Quantile Regression☆31Jan 12, 2020Updated 6 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆72Sep 15, 2019Updated 6 years ago
- Implementations of the graphical lasso method to estimation of covariance matrices in finance.☆36Oct 31, 2012Updated 13 years ago
- The Adaptive Multi-Factor (AMF) asset pricing model with the Groupwise Interpretable Basis Selection (GIBS) algorithm.☆10Dec 12, 2021Updated 4 years ago
- ☆11Oct 24, 2025Updated 4 months ago
- Replication of "Taming the Factor Zoo: A Test of New Factors (Feng, Giglio, and Xiu, 2020, JF)"☆10Mar 4, 2024Updated 2 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Jan 15, 2018Updated 8 years ago