value-at-risk
There are 74 repositories under value-at-risk 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)
ApurvShah007/portfolio-optimizer
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.
BayerSe/VaR-Backtesting
Implementation of a variety of Value-at-Risk backtests
BayerSe/l1qr
Lasso Quantile Regression
Buczman/CaviaR
R code for CAViaR model
sumit090594/WQU-Projects
Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement of clearing the courses.
EmanuelSommer/portvine
Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
arunp77/MonteCarlo-simulation
Application to finance
MajorLift/volatility-modeling-python-datasci
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."
upathare1/CoVaR-Conditional-VaR-Project
Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.
f-z/financial-modelling
Financial modelling, derivatives, investments
rafa-rod/vartests
Statistical tests for Value at Risk (VaR) Models.
SachaIZADI/stochastic-optimization
One-week side project to play around stochastic optimization (how to take *good* decisions under uncertainty)
Beliavsky/R-Finance-Task-View-Supplement
R Finance packages not listed in the Empirical Finance Task View
databricks-industry-solutions/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.
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).
mtouyaa/Python-for-MarketRisk
Manuel Touyaa's porfotlio of Python projects/assignments for Finance Market Risk.
aidinattar/Financial-Mathematics
Weekly exercises of the course of Stochastic Methods for Finance.
guilhermessc/VaR-threshold-and-confidence-interval
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.
yatshunlee/CAViaR
Measure market risk by CAViaR model
rena95/Loss-Distribution-Approach
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.
romainlafarguette/varfxi
Model and replications scripts for the 2020 IMF Working Paper "Foreign Exchange Interventions Rules for Central Banks: A Risk-Based Framework"
GeoBosh/cvar
R package providing functions for computing Expected shortfall (ES) and Value at risk (VaR)
GimleDigital/Value-at-Risk
Proposed solutions to selected exercises in the book "Value-at-Risk: Theory and Practice" (2nd edition) by Glyn A. Holton.
qlero/financial_metrics_comparisons
Comparisons of financial metrics (e.g. VaR vs CVaR/ES, simple vs log returns, etc.).
greyfin2707/VaR-calculation
Calculation of Value at Risk using Generalized normal distribution, EGARCH and GARCH + EVT
nchukalovskiy/bonds-risk
Financial risks of bonds
DataSphereX/Finance-and-Risk-Analytics
To provide complete workflow from Inferential Analytics, Predictive Analytics, Prescriptive Analytics and Evaluate the performance of prescriptions
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.
wilson-chen-GSMICS/market_risk_analysis
Code for value-at-risk calculation and backtesting.
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'
i-am-surovi/mat120-project-bracu
I have done this project for my Mat120 course. This is about to calculate Value at Risk (VaR) which has immence importance on Risk Management as well as in Global Economy. I use Monte Carlo Method to calculate.
pratikdaga12/portfolio-risk-management
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
vladislavpyatnitskiy/Risk-Management-Analytics
Essential techniques to assess financial risks