lionandbull / Risk-management
Built quantitative models to measure value at risk (VaR) and Expected Shortfall (ES).
☆13Updated 6 years ago
Alternatives and similar repositories for Risk-management:
Users that are interested in Risk-management are comparing it to the libraries listed below
- Some code related to the VaR matheology.☆9Updated 6 years ago
- The Value at Risk (VaR) calculation, Python version☆11Updated 5 years ago
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆25Updated 7 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated last week
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Updated 4 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 4 years ago
- Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)☆10Updated 3 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 4 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆22Updated 4 years ago
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆20Updated 6 years ago
- Development space for PhD in Finance☆33Updated 4 years ago
- My replication of financial papers.☆19Updated 6 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆48Updated 4 years ago
- ☆20Updated last month
- Loose collection of Jupyter notebooks, mostly for my blog☆29Updated 3 months ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Financial risk analysis on a stocks portfolio through the VaR (Value at Risk), using Monte Carlo Simulation and Multiple Linear Regressio…☆20Updated 4 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆12Updated 6 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 4 years ago
- This is a VaR and AVaR calculator for portfolio only with stocks using Monte Carlo Method.☆18Updated 7 years ago
- Various risk analysis projects in R, applying extreme value theory, copula modeling, and value-at-risk backtesting to real world stock da…☆14Updated 4 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆25Updated last year
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆30Updated 2 years ago
- Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.☆21Updated 5 years ago
- 量化FOF框架☆12Updated 5 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆41Updated last year