risk-measure

There are 3 repositories under risk-measure topic.

  • xhub/EMP.jl

    Extended Mathematical Programming in Julia

    Language:Julia15322

  • open-risk/tailRisk

    A library for the calculation of tail risk measures

    Language:C++4252

  • 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.

    Language:Julia2201