lyx66 / Value-at-Risk-VaR-Based-on-Historical-Simulation-in-Conjunction-with-GARCH-ModelLinks
Python code for rolling Value at Risk(VaR) of fiancial assets and some of economic time series, based on the procedure proposed by Hull & White(1998).
☆13Updated 3 years ago
Alternatives and similar repositories for Value-at-Risk-VaR-Based-on-Historical-Simulation-in-Conjunction-with-GARCH-Model
Users that are interested in Value-at-Risk-VaR-Based-on-Historical-Simulation-in-Conjunction-with-GARCH-Model are comparing it to the libraries listed below
Sorting:
- Implemented some mathematical processings used in the Barra risk model☆28Updated 2 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆17Updated 5 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- ☆52Updated 8 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆90Updated 4 years ago
- Modern Portfolio Theory (MPT), a hypothesis put forth by Harry Markowitz in his paper “Portfolio Selection,” (published in 1952 by the Jo…☆13Updated 7 years ago
- DCC GARCH modeling in Python☆96Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- GARCH and Multivariate LSTM forecasting models for Bitcoin realized volatility with potential applications in crypto options trading, hed…☆272Updated 3 years ago
- SVI volatility surface model and an example of China 50ETF option☆77Updated 5 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Learning project by project.☆19Updated 4 years ago
- Machine learning methods for identifing investment factors☆26Updated 3 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆133Updated 6 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆82Updated 3 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆28Updated 2 years ago
- CS7641 Team project☆96Updated 5 years ago
- quantitative asset allocation strategy☆32Updated 7 months ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆124Updated 5 years ago
- Financial risk analysis on a stocks portfolio through the VaR (Value at Risk), using Monte Carlo Simulation and Multiple Linear Regressio…☆22Updated 4 years ago
- This repository represents work in progress for the Worldquant University Capstone Project titled: Asset Portfolio Management using Deep …☆84Updated 2 years ago
- Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python☆127Updated 2 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆14Updated 5 years ago
- CQF Project based on introducing Pair Trading for Energy Stocks with VAR (Vector Autoregression), Engle Granger Approach, Backtesting, Op…☆16Updated 5 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆64Updated 4 years ago
- Calibration and Simulation Engine for Local Volatility Models☆11Updated 3 years ago
- ☆74Updated 4 years ago
- We implement the paper: Deep Learning Volatility☆193Updated 5 years ago
- By combining GARCH(1,1) and LSTM model implementing predictions.☆57Updated 6 years ago