Alternatives and similar repositories for Value_at_Risk_Python

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

• owstron / VaR_CVaR
  Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.
  ☆14Updated 5 years ago
• anhdanggit / volatility-garch-VaR
  Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation
  ☆24Updated 7 years ago
• BayerSe / VaR-Backtesting
  Implementation of a variety of Value-at-Risk backtests
  ☆42Updated 6 years ago
• Topaceminem / DCC-GARCH
  DCC GARCH modeling in Python
  ☆98Updated 5 years ago
• GustavoAlovisi / cvar_portfolio_optim
  ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
  ☆29Updated 4 years ago
• JellalYu / Multivariate-DCC-GARCH-model
  Multivariate DCC-GARCH model
  ☆16Updated 7 years ago
• upathare1 / CoVaR-Conditional-VaR-Project
  Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.
  ☆22Updated 5 years ago
• HoagieT / Inflation-Nowcast-Model
  A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.
  ☆16Updated 4 years ago
• jasonzy121 / Deep_Learning_Asset_Pricing
  ☆77Updated 2 years ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆38Updated 4 years ago
• wangys96 / Cross-Quantilogram
  A quantile dependent method to calculate the correlation between two series.
  ☆20Updated 5 years ago
• rhameysayed / Spillovers-and-Connectedness
  ☆21Updated 2 years ago
• 18939739359 / copula-dcc-garch
  dynamic copula dcc garch estimate bank systematic risk
  ☆19Updated 3 years ago
• yolsever / ML-in-equity-prediction
  My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"
  ☆50Updated 5 years ago
• johnsoong216 / pymarkowitz
  Mean Variance (Markowitz) Portfolio Optimization and Beyond
  ☆64Updated last year
• Karansamlal / HAR-RV-model
  Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (‎2009).
  ☆12Updated 5 years ago
• blaahhrrgg / equity-risk-model
  Attribution and optimisation using a multi-factor equity risk model.
  ☆33Updated last year
• KarlNaumann / GarchMidas
  BSc Thesis on the Garch-Midas model
  ☆28Updated 3 years ago
• LouisChen1992 / Deep_Learning_in_Asset_Pricing
  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138
  ☆140Updated 4 years ago
• Feng-CityUHK / EquityCharacteristics
  Calculate U.S. equity (portfolio) characteristics
  ☆100Updated last year
• yitaohu88 / Empirical-Method-in-Finance
  Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…
  ☆43Updated 4 years ago
• wangy8989 / Active-Portfolio-Management
  factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition
  ☆30Updated 6 years ago
• duffau / RNN_GARCH
  Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model
  ☆71Updated 6 years ago
• tzhangwps / Turbulence-and-Systemic-Risk
  Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…
  ☆26Updated 8 months ago
• 1IfByLAN2IfByC / Diebold_BondYield
  Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.
  ☆26Updated 9 years ago
• QuhiQuhihi / project_Asset_Allocation
  quantitative asset allocation strategy
  ☆33Updated 10 months ago
• dkyol / Asset-Pricing-Model
  PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics
  ☆50Updated 5 years ago
• kurucan / Empirical-Asset-Pricing-via-Machine-Learning-Evidence-from-the-German-Stock-Market
  Machine learning methods for identifing investment factors
  ☆19Updated 4 years ago
• Bturan19 / Neural-Garch-Hybrid-Model-Implementation
  By combining GARCH(1,1) and LSTM model implementing predictions.
  ☆58Updated 6 years ago
• gzj1992 / Portfolio_Construction
  Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.
  ☆41Updated 7 years ago