owstron / VaR_CVaRLinks
Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.
☆14Updated 5 years ago
Alternatives and similar repositories for VaR_CVaR
Users that are interested in VaR_CVaR are comparing it to the libraries listed below
Sorting:
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆25Updated 7 years ago
- The Value at Risk (VaR) calculation, Python version☆11Updated 6 years ago
- DCC GARCH modeling in Python☆102Updated 6 years ago
- dynamic copula dcc garch estimate bank systematic risk☆20Updated 4 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆23Updated 5 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 5 years ago
- Multivariate DCC-GARCH model☆16Updated 7 years ago
- ☆21Updated 3 years ago
- 系统性风险指标计算☆10Updated 5 years ago
- BSc Thesis on the Garch-Midas model☆29Updated 3 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Risk Parity and Factors Model on multi asseet management☆23Updated 4 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆16Updated 5 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 5 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆45Updated 5 years ago
- A quantile dependent method to calculate the correlation between two series.☆20Updated 5 years ago
- ☆20Updated last year
- Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method☆14Updated 4 years ago
- ARMA-GARCH☆103Updated 2 years ago
- By combining GARCH(1,1) and LSTM model implementing predictions.☆59Updated 7 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆33Updated 4 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆27Updated 9 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆72Updated 6 years ago
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years ago
- quantitative asset allocation strategy☆35Updated last year
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆17Updated 5 years ago
- Replication of key GARCH model papers☆37Updated 9 years ago
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆31Updated 7 years ago
- The code implements FamaMacbeth regression as in Fama & MacBeth (1973)☆21Updated 6 years ago
- ☆80Updated 3 years ago