Topic: value-at-risk Goto Github
Some thing interesting about value-at-risk
Some thing interesting about value-at-risk
value-at-risk,Weekly exercises of the course of Stochastic Methods for Finance.
User: aidinattar
value-at-risk,Implementation for "The Price of a Safe Flight: Risk Cost Based Path Planning" [Accepted Presentation ICRA 2024]
User: aliaksei135
value-at-risk,A collection of various computational methods to optimize a user's investment portfolio using Modern Portfolio Theory and optimizing various factors such as Returns, Sharpe Ratio and Risk.
User: apurvshah007
value-at-risk,Application to finance
User: arunp77
Home Page: https://arunp77.github.io/MonteCarlo-simulation/
value-at-risk,The goal of esreg is to simultaneously model the quantile and the expected shortfall of a response variable given a set of covariates.
User: bayerse
Home Page: https://projecteuclid.org/euclid.ejs/1559872834
value-at-risk,Lasso Quantile Regression
User: bayerse
value-at-risk,Implementation of a variety of Value-at-Risk backtests
User: bayerse
value-at-risk,These reports were developed for the course Stochastic methods for finance using real data from yahoo finance and analyzing it via excel VBA
User: bhroben
value-at-risk,This repository consits of: projects and homeworks connected with research area such as Risk Management.
User: bjam24
value-at-risk,R code for CAViaR model
User: buczman
value-at-risk,Shows how banks can modernize their risk management practices by back-testing, aggregating and scaling simulations by using a unified approach to data analytics with the Lakehouse.
Organization: databricks-industry-solutions
Home Page: https://databricks-industry-solutions.github.io/value-at-risk/
value-at-risk,To provide complete workflow from Inferential Analytics, Predictive Analytics, Prescriptive Analytics and Evaluate the performance of prescriptions
User: dataspherex
value-at-risk,Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
User: emanuelsommer
Home Page: https://emanuelsommer.github.io/portvine/
value-at-risk,Code for the case studies and theoretical visualizations for the master thesis 'Estimation and Backtesting of the Expected Shortfall and Value at Risk using Vine Copulas'
User: emanuelsommer
value-at-risk,Financial modelling, derivatives, investments
User: f-z
value-at-risk,Selecting and optimizing portfolios involving FTSE 100 top 10 stocks. Comparison of each strategy performance over time with rolling statistics and tail risk metrics.
User: flopes045
value-at-risk,Rest Api risk management trading tool based on incremental value at risk
User: gaugau3000
value-at-risk,R package providing functions for computing Expected shortfall (ES) and Value at risk (VaR)
User: geobosh
Home Page: https://geobosh.github.io/cvar/
value-at-risk,Proposed solutions to selected exercises in the book "Value-at-Risk: Theory and Practice" (2nd edition) by Glyn A. Holton.
User: gimledigital
Home Page: https://www.glynholton.com/exercise-solutions-github/
value-at-risk,Calculation of Value at Risk using Generalized normal distribution, EGARCH and GARCH + EVT
User: greyfin2707
value-at-risk,This project studies the effects of the shape parameter estimator uncertainty at different threshold levels on the value-at-risk confidence interval for quantitative risk management (QRM) using the Generalized Pareto Distribution (GPD) from the Extreme Value Theory (EVT) approach.
User: guilhermessc
value-at-risk,Automatized-analysis-via-yfinance-API
User: jeckonov
value-at-risk,This is my cs50 final project
User: karelze
Home Page: htttp://www.markusbilz.com
value-at-risk,The files contained in this repository were used for implementing the three models in my master thesis. My master thesis title is "Comparison of different portfolio optimization problems with different risk measures".
User: kirui93
value-at-risk,Python code for rolling Value at Risk(VaR) of fiancial assets and some of economic time series, based on the procedure proposed by Hull & White(1998).
User: lyx66
value-at-risk,Undergraduate thesis, Seoul National University Dept. of Economics — "Modeling Volatility and Risk Spillover Between the Financial Markets of US and China Using GARCH Value-at-Risk Forecasting and Granger Causality."
User: majorlift
value-at-risk,Conducting portfolio analysis using pandas dictionaries
User: maltseva88
value-at-risk,iPython notebook which allows the calculation of historical VaR for a variable range of user defined US equities. The lookback period is manually user defined.
User: max-fitzpatrick
value-at-risk,Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics and many other (ex-post) risk/return characteristics both on an individual stock and portfolio-basis, stand-alone and vs. a benchmark of choice (constructed with wxPython)
User: mbkraus
value-at-risk,Manuel Touyaa's porfotlio of Python projects/assignments for Finance Market Risk.
User: mtouyaa
value-at-risk,Financial risks of bonds
User: nchukalovskiy
value-at-risk,Parts of code from my MSc. dissertation project. Uses yahoo API to load past stock data for training and backtesting various traditional and experimental models for VaR calculation. Written in R & Python.
User: nicoherrig95
value-at-risk,Repository represents python usability of measuring and managing risks (practice tasks and real cases)
User: olesyamba
value-at-risk,A library for the calculation of tail risk measures
User: open-risk
Home Page: https://www.openriskmanagement.com
value-at-risk,This is a masters project completed by My Team & I the project is based portfolio risk management which calculated using Value at Risk and optimization of the portfolio using the best weights available
User: pratikdaga12
value-at-risk,Comparisons of financial metrics (e.g. VaR vs CVaR/ES, simple vs log returns, etc.).
User: qlero
value-at-risk,Curso ministrado por mim na Financial Risk Academy (FRA) sobre Introdução ao Risco de Mercado com Python
User: rafa-rod
Home Page: https://financial-risk-academy.teachable.com/courses/
value-at-risk,Statistical tests for Value at Risk (VaR) Models.
User: rafa-rod
value-at-risk,The repo contains the main topics carried out in my master's thesis on operational risk. In particular, it is described how to implement the so called Loss Distribution Approach (LDA), which is considered the state-of-the-art method to compute capital charge among large banks.
User: rena95
value-at-risk,Model and replications scripts for the 2020 IMF Working Paper "Foreign Exchange Interventions Rules for Central Banks: A Risk-Based Framework"
User: romainlafarguette
value-at-risk,A package for evaluating tail probabilities and partial moments for random vectors in multivariate generalized hyperbolic random vectors.
User: s-broda
value-at-risk,One-week side project to play around stochastic optimization (how to take *good* decisions under uncertainty)
User: sachaizadi
value-at-risk,Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement of clearing the courses.
User: sumit090594
value-at-risk,Analyzer for Instruments of Dhaka Stock Exchange
User: tanvird3
Home Page: https://khantanvir.shinyapps.io/TechnicalAnalysis/
value-at-risk,Backtesting my current US stocks portfolio
User: thk-cheng
value-at-risk,Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.
User: upathare1
value-at-risk,Essential techniques to assess financial risks
User: vladislavpyatnitskiy
value-at-risk,Code for value-at-risk calculation and backtesting.
User: wilson-chen-gsmics
value-at-risk,Measure market risk by CAViaR model
User: yatshunlee
value-at-risk,Nonparametric methods concerning to expected shortfall
User: ygeunkim
Home Page: https://ygeunkim.github.io/project/nonparam_project/
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