lionandbull / Risk-managementLinks
Built quantitative models to measure value at risk (VaR) and Expected Shortfall (ES).
☆13Updated 7 years ago
Alternatives and similar repositories for Risk-management
Users that are interested in Risk-management are comparing it to the libraries listed below
Sorting:
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆25Updated 8 years ago
- This is a VaR and AVaR calculator for portfolio only with stocks using Monte Carlo Method.☆18Updated 7 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆43Updated 4 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 5 years ago
- DCC GARCH modeling in Python☆98Updated 5 years ago
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years ago
- Mean Variance (Markowitz) Portfolio Optimization and Beyond☆64Updated last year
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆11Updated 4 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- ☆20Updated 9 months ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆50Updated 5 years ago
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆16Updated 4 years ago
- ARMA-GARCH☆99Updated 2 years ago
- Non-Linear Covariance Shrinkage☆15Updated 3 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 8 months ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆67Updated 5 months ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Alpha Generation using Data Science and Quantitative Analysis with integrated Risk Model☆52Updated 5 years ago
- The Value at Risk (VaR) calculation, Python version☆11Updated 6 years ago
- My replication of financial papers.☆19Updated 7 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- Improve S&P 500 stock price prediction (random forest and gradient boosting trees) with time series similarity measurements: DTW, SAX, co…☆99Updated 3 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Updated 2 years ago
- HAR-RV Model For Realized Volatility☆31Updated 9 years ago
- A collection of my ramblings into the field of Quantitatve and Mathematical Finance☆11Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆17Updated 5 years ago
- Q-quant和因子投资实证汇总☆22Updated 4 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆71Updated 6 years ago