simonyanchen / ChinaEquityRiskModelLinks
Fundamental Factor Model based on Bloomberg
☆11Updated 8 years ago
Alternatives and similar repositories for ChinaEquityRiskModel
Users that are interested in ChinaEquityRiskModel are comparing it to the libraries listed below
Sorting:
- Elements of Financial Risk Management in Python☆12Updated 4 years ago
 - Risk_Budgeting is a Python project that uses the risk budgeting approach for portfolio asset allocation☆23Updated 8 years ago
 - Replication of key GARCH model papers☆34Updated 9 years ago
 - create all-weather risk parity weights and back-test☆33Updated 3 years ago
 - Covariance Matrix Estimation via Factor Models☆36Updated 6 years ago
 - NYU Tandon lecture slides☆32Updated 4 months ago
 - Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
 - This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆25Updated 4 years ago
 - Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 7 years ago
 - Affine Term-Structure Models: Theory and Implementation☆13Updated 5 years ago
 - Pricing the Term Structure with Linear Regressions☆42Updated 7 years ago
 - Risk Parity and Factors Model on multi asseet management☆22Updated 4 years ago
 - R package for high frequency time series data management☆64Updated 5 months ago
 - FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆27Updated 3 years ago
 - ☆55Updated 2 months ago
 - Simulate and estimate volatility by GARCH with/without leverage, riskmetriks. Compute Value-at-Risk and Test on VaR Violation☆24Updated 7 years ago
 - This project explores the way to construct the multiple factor risk model to calculate the risk contribution of each factor and the total…☆73Updated 7 years ago
 - Estimation of realized quantities☆18Updated 6 years ago
 - Risk estimation algorithms☆30Updated 7 years ago
 - Reimplementing QuantLib examples by Python☆66Updated 3 years ago
 - Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
 - Composite Indicators Framework for Business Cycle Analysis☆63Updated 3 years ago
 - Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆134Updated 6 years ago
 - ☆18Updated 7 years ago
 - Python Code for Meucci Related Blog Posts☆16Updated 9 years ago
 - Reading notes and Python implementation for book "Machine Learning for Factor Investing" by Silkdust☆12Updated last year
 - Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
 - CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
 - Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆70Updated 6 years ago
 - Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆43Updated 4 years ago