Alternatives and similar repositories for VaR:

Users that are interested in VaR are comparing it to the libraries listed below

• Yizhan-Oliver-Shu / jump-models
  Statistical Jump Models in Python, with scikit-learn-style APIs
  ☆60Updated last month
• QuhiQuhihi / regime_model
  detecting regime of financial market
  ☆34Updated 2 years ago
• LongOnly / Option-Pricing-under-Uncertainty
  By means of stochastic volatility models
  ☆43Updated 4 years ago
• hobinkwak / Portfolio-Optimization-Deep-Learning
  Mean-Variance Optimization using DL (pytorch)
  ☆30Updated 2 years ago
• vicaws / arbitragerepair
  Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.
  ☆116Updated last year
• druce / portfolio_optimization
  Portfolio optimization with cvxopt
  ☆37Updated last month
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆36Updated 4 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆59Updated 11 months ago
• quantrocket-codeload / pairs-pipeline
  Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …
  ☆35Updated 10 months ago
• anthonyng2 / Time-Series-Momentum
  ☆17Updated 8 years ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆57Updated 2 weeks ago
• mChataign / DupireNN
  Neural network local volatility with dupire formula
  ☆76Updated 3 years ago
• cvxgrp / cov_pred_finance
  ☆63Updated 3 weeks ago
• Sidhus234 / Hurst-Exponent-Trading-Strategy
  ☆39Updated 3 years ago
• jerryxyx / MonteCarlo
  A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM
  ☆108Updated 5 years ago
• LSEG-API-Samples / Article.RD.Python.MarketRegimeDetectionUsingStatisticalAndMLBasedApproaches
  ☆35Updated 2 years ago
• BayerSe / VaR-Backtesting
  Implementation of a variety of Value-at-Risk backtests
  ☆36Updated 5 years ago
• enexqnt / RBAA
  Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference
  ☆25Updated 2 years ago
• fp1acm8 / Analysis-of-Financial-Time-Series
  Semi-automatic analysis of a financial series using Python.
  ☆12Updated 3 years ago
• fortitudo-tech / entropy-pooling
  Entropy Pooling in Python with a BSD 3-Clause license.
  ☆38Updated 4 months ago
• BrianNingUT / ArbFreeIV-VAE
  Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.
  ☆29Updated last year
• AI-Stuff / hudson-and-thames-research
  Research Repo (Archive)
  ☆70Updated 4 years ago
• emoen / Machine-Learning-for-Asset-Managers-Oslo-Bors
  ☆21Updated 3 years ago
• 732jhy / Monte-Carlo-Option-Pricing
  Monte Carlo option pricing algorithms for vanilla and exotic options
  ☆25Updated 4 years ago
• bernhard-pfann / pca-yield-curve-analytics
  Predictive yield curve modeling in reduced dimensionality
  ☆43Updated 2 years ago
• KangOxford / Volume-Forecasting
  Time Series Prediction of Volume in LOB
  ☆56Updated 10 months ago
• FranklinMa810 / Market-Microstructure
  ☆21Updated 5 years ago
• YINDAIYING / Deep-Robust-Statistical-Arbitrage
  This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…
  ☆59Updated 11 months ago
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆37Updated 6 years ago
• ilchen / options-pricing
  Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Eu…
  ☆24Updated last month