Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.
☆13Apr 24, 2020Updated 6 years ago
Alternatives and similar repositories for VaR_CVaR
Users that are interested in VaR_CVaR are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Financial risk analysis on a stocks portfolio through the VaR (Value at Risk), using Monte Carlo Simulation and Multiple Linear Regressio…☆21Nov 3, 2020Updated 5 years ago
- The Value at Risk (VaR) calculation, Python version☆10Nov 1, 2019Updated 7 years ago
- Built quantitative models to measure value at risk (VaR) and Expected Shortfall (ES).☆13Aug 30, 2018Updated 8 years ago
- Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆25Apr 27, 2018Updated 8 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 &…☆13Oct 21, 2021Updated 5 years ago
- 1-Click AI Models by DigitalOcean Gradient • AdDeploy popular AI models on DigitalOcean Gradient GPU virtual machines with just a single click. Zero configuration with optimized deployments.
- 系统性风险指标计算☆11Apr 20, 2020Updated 6 years ago
- 致力于多因子，AI策略，可盈利模型的研究☆12Apr 14, 2023Updated 3 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆26Nov 14, 2020Updated 5 years ago
- A Model to Predict any kind of price such as Crypto price or Stock price using LSTM network and python☆25Jan 16, 2022Updated 4 years ago
- Implementation of a variety of Value-at-Risk backtests☆47May 25, 2019Updated 7 years ago
- Cointegration Test in python☆29Mar 19, 2019Updated 7 years ago
- Flask application for calculating portfolio exposure to ETF's underlying stocks☆11Mar 4, 2019Updated 7 years ago
- ☆20Jan 26, 2025Updated last year
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆75Feb 19, 2020Updated 6 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- ☆14Jul 30, 2022Updated 4 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆28Jan 28, 2021Updated 5 years ago
- LR / SVM / XGBoost / RandomForest etc.☆30Jul 27, 2026Updated 3 months ago
- TVP VAR Workshop☆13Feb 26, 2020Updated 6 years ago
- An experimental API for Extreme Learning machines Neural Networks made with TensorFlow.☆10Oct 23, 2018Updated 8 years ago
- Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.☆28Aug 28, 2017Updated 9 years ago
- A bot that sends telegram notification on activity made by a wallet☆11Dec 5, 2023Updated 2 years ago
- Yet Another Async Version of TinyDB☆19Jul 4, 2024Updated 2 years ago
- ☆11Dec 17, 2018Updated 7 years ago
- Deploy open-source AI quickly and easily - Special Bonus Offer • AdRunpod Hub is built for open source. One-click deployment and autoscaling endpoints without provisioning your own infrastructure.
- Project includes scripts to set up a securities master database with stock and ETF timeseries data☆12Apr 20, 2016Updated 10 years ago
- Model and replications scripts for the 2020 IMF Working Paper "Foreign Exchange Interventions Rules for Central Banks: A Risk-Based Frame…☆11Apr 20, 2023Updated 3 years ago
- I use TVP-VAR methodology with a stochastic volatility model to investigate the forecasting performance on macroeconomic variables. In pa…☆11Nov 17, 2019Updated 6 years ago
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆124Feb 17, 2021Updated 5 years ago
- Master Dissertation (2014): Backtesting Bootstrap Value-at-Risk and Expected Shortfall estimates in GARCH models☆14Mar 11, 2026Updated 7 months ago
- Estimate the parameters of an Ornstein-Uhlenbeck stochastic process☆10May 8, 2020Updated 6 years ago
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆13Jan 21, 2022Updated 4 years ago
- LSTM stock prediction and backtesting☆14Jan 11, 2020Updated 6 years ago
- Comprehensive Python Cheatsheet☆11Oct 12, 2022Updated 4 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆11Sep 18, 2020Updated 6 years ago
- ☆11Feb 19, 2025Updated last year
- In this project, this research generally investigates the financial time series such as the price & return of NASDAQ Composite Index usin…☆12Dec 7, 2018Updated 7 years ago
- ☆15Oct 6, 2026Updated 3 weeks ago
- DCC GARCH modeling in Python☆111Jan 15, 2020Updated 6 years ago
- All code related to the paper: "A Copula Statistic for Measuring Nonlinear Multivariate Dependence"☆11Jun 5, 2022Updated 4 years ago
- Statistical Arbitrage & Algorithmic Trading: time series analysis and the presence of cointegration in cryptocurrency price series.☆11Jan 10, 2019Updated 7 years ago