expected-shortfall
There are 20 repositories under expected-shortfall topic.
EmanuelSommer/portvine
Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
BayerSe/esback
Expected Shortfall Backtesting
Beliavsky/R-Finance-Task-View-Supplement
R Finance packages not listed in the Empirical Finance Task View
mtouyaa/Python-for-MarketRisk
Manuel Touyaa's porfotlio of Python projects/assignments for Finance Market Risk.
GeoBosh/cvar
R package providing functions for computing Expected shortfall (ES) and Value at risk (VaR)
qlero/financial_metrics_comparisons
Comparisons of financial metrics (e.g. VaR vs CVaR/ES, simple vs log returns, etc.).
ericyung1998/financial-analysis-r
[R] Statistical analysis of financial data conducted in R
open-risk/tailRisk
A library for the calculation of tail risk measures
s-broda/QuadraticFormsMGHyp.jl
A package for evaluating tail probabilities and partial moments for random vectors in multivariate generalized hyperbolic random vectors.
bjam24/agh-quantitative-measures-of-market-risk
This repository consits of: projects and homeworks connected with research area such as Risk Management.
EmanuelSommer/PortvineThesis
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'
thk-cheng/Backtest_US_Portfolio
Backtesting my current US stocks portfolio
BayerSe/esreg
The goal of esreg is to simultaneously model the quantile and the expected shortfall of a response variable given a set of covariates.
febrinadevitas/Constant-Correlation-Model-for-Optimal-Portfolio-Formation-and-Expected-Shortfall-Risk-Measurement
The purpose of investments is to obtain a profit. One type of investments that can be done is stock investment. Investors can diversify the stocks to reduce the risk of an investment. Stock diversification is done by combining several stocks and then forming a portfolio.
jaantollander/ConditionalValueAtRisk
Provides a concrete Julia implementation for computing the conditional value-at-risk (aka expected shortfall) for discrete probability distributions. Also works as a pseudocode for other languages.
olesyamba/Risk_analysis
Repository represents python usability of measuring and managing risks (practice tasks and real cases)
rafa-rod/Curso-Introducao-Risco-de-Mercado-em-Python---Financial-Risk-Academy
Curso ministrado por mim na Financial Risk Academy (FRA) sobre Introdução ao Risco de Mercado com Python
vladislavpyatnitskiy/Risk-Management-Analytics
Essential techniques to assess financial risks
ygeunkim/nonparam-cvar
Nonparametric methods concerning to expected shortfall
ygeunkim/ceshat
R package for nonparametric estimation of CES