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☆21Updated 7 years ago
- DCC GARCH modeling in Python☆95Updated 5 years ago
- The Value at Risk (VaR) calculation, Python version☆11Updated 5 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Updated 4 years ago
- 系统性风险指标计算☆10Updated 5 years ago
- BSc Thesis on the Garch-Midas model☆28Updated 3 years ago
- Multivariate DCC-GARCH model☆15Updated 6 years ago
- dynamic copula dcc garch estimate bank systematic risk☆19Updated 3 years ago
- ☆20Updated 2 years ago
- Multi-Factor model with regression method☆9Updated 6 years ago
- Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.☆21Updated 4 years ago
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆30Updated 3 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Updated 4 years ago
- Machine learning methods for identifing investment factors☆17Updated 3 years ago
- A quantile dependent method to calculate the correlation between two series.☆19Updated 4 years ago
- The code implements FamaMacbeth regression as in Fama & MacBeth (1973)☆20Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- ☆71Updated 2 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆15Updated 4 years ago
- Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method☆13Updated 4 years ago
- ARIMA & GARCH models for stock price prediction☆18Updated 4 years ago
- The asymptotic normal distribution properties☆15Updated 7 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
- ARMA-GARCH☆97Updated last year
- Implementation of a variety of Value-at-Risk backtests☆38Updated 6 years ago
- This is a VaR and AVaR calculator for portfolio only with stocks using Monte Carlo Method.☆18Updated 7 years ago
- Machine learning methods for identifing investment factors☆21Updated 3 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- Empirical asset pricing via Machine Learning in the Korean market☆38Updated last year
- SABR Implied volatility asymptotics☆22Updated 5 years ago