maximenc / Extreme-Risk
Using Extreme Value Theory (EVT) to Estimate Value-at-Risk (VaR) and Expected shortfall (ES)
☆10Updated 3 years ago
Alternatives and similar repositories for Extreme-Risk:
Users that are interested in Extreme-Risk are comparing it to the libraries listed below
- Some code related to the VaR matheology.☆9Updated 6 years ago
- Estimators and analysis for extreme value theory (EVT)☆16Updated 3 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 3 months ago
- Built quantitative models to measure value at risk (VaR) and Expected Shortfall (ES).☆13Updated 6 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 4 months ago
- Modifying the Shiller CAPE Ratio to adjust for changing economic conditions.☆15Updated 2 years ago
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆33Updated 9 months 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
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆25Updated 7 years ago
- ☆26Updated 5 months ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- Forecasting Macroeconomic Parameters with Deep Learning Neural Networks - Final Year Peoject☆13Updated 6 years ago
- Moody's Bond Rating Classifier and USPHCI Economic Activity Forecast Modeling☆17Updated 5 years ago
- Variance Gamma distribution (Python): pdf, cdf, rand and fit.☆12Updated 6 years ago
- Markov decision processes under model uncertainty☆14Updated 2 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆39Updated 4 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Updated 5 months 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
- Quant finance scripts☆15Updated 4 years ago
- Talk Materials for "Convex Optimization for Finance"☆28Updated 2 years ago
- HAR-RV Model For Realized Volatility☆28Updated 9 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆25Updated last year
- This is a VaR and AVaR calculator for portfolio only with stocks using Monte Carlo Method.☆18Updated 7 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- Stock markets are an essential component of the economy. Their prediction naturally arouses afascination in the academic and financial w…☆21Updated 3 years ago
- ☆13Updated last year
- Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.☆21Updated 5 years ago