owstron / VaR_CVaR
Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.
☆14Updated 4 years ago
Alternatives and similar repositories for VaR_CVaR:
Users that are interested in VaR_CVaR are comparing it to the libraries listed below
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆20Updated 6 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- The Value at Risk (VaR) calculation, Python version☆11Updated 5 years ago
- dynamic copula dcc garch estimate bank systematic risk☆18Updated 3 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- ☆18Updated 2 years ago
- BSc Thesis on the Garch-Midas model☆26Updated 3 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆19Updated 4 years ago
- DCC GARCH modeling in Python☆90Updated 5 years ago
- Python code for rolling Value at Risk(VaR) of fiancial assets and some of economic time series, based on the procedure proposed by Hull &…☆13Updated 3 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆13Updated 4 years ago
- Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method☆13Updated 3 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆36Updated 4 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆16Updated 4 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 3 weeks ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆26Updated 3 years ago
- Machine learning methods for identifing investment factors☆16Updated 3 years ago
- Systemic Risk - CoVaR☆13Updated 4 years ago
- CoVaR estimation via quantile regression☆26Updated 7 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 4 years ago
- Estimating and Forecasting Macroeconomics Variable Using Time Varying Parameters (TVP) Factor Augmented Vector Autoregression (FAVAR)☆11Updated 2 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- Implementation of a variety of Value-at-Risk backtests☆36Updated 5 years ago
- The asymptotic normal distribution properties☆15Updated 6 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
- R code for CAViaR model☆28Updated 3 years ago
- Dynamic Nelson Siegel Model☆12Updated 6 years ago