historical-simulation
There are 2 repositories under historical-simulation topic.
MBKraus/Python_Portfolio__VaR_Tool
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)
lyx66/Value-at-Risk-VaR-Based-on-Historical-Simulation-in-Conjunction-with-GARCH-Model
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).