value-at-risk
Here are 72 public repositories matching this topic...
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.
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Mar 15, 2018 - Jupyter Notebook
To provide complete workflow from Inferential Analytics, Predictive Analytics, Prescriptive Analytics and Evaluate the performance of prescriptions
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Oct 15, 2018 - R
Financial risks of bonds
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Dec 11, 2018 - Mathematica
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".
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Feb 1, 2019 - Jupyter Notebook
Implementation of a variety of Value-at-Risk backtests
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May 25, 2019 - Python
Financial modelling, derivatives, investments
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May 25, 2019 - Java
Proposed solutions to selected exercises in the book "Value-at-Risk: Theory and Practice" (2nd edition) by Glyn A. Holton.
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Jul 10, 2019 - Scala
Comparisons of financial metrics (e.g. VaR vs CVaR/ES, simple vs log returns, etc.).
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Oct 23, 2019 - Jupyter Notebook
R package for nonparametric estimation of CES
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Dec 15, 2019 - R
Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement of clearing the courses.
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Mar 23, 2020 - Jupyter Notebook
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.
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Aug 5, 2020 - Python
Conducting portfolio analysis using pandas dictionaries
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Sep 30, 2020 - Jupyter Notebook
Backtesting my current US stocks portfolio
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Oct 18, 2020 - R
Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.
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Nov 14, 2020 - Jupyter Notebook
This project is a basic look into using R Programming to work on stocks.
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Feb 6, 2021 - R
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)
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Feb 17, 2021 - Python
Specify and fit GARCH models to forecast time-varying volatility and value-at-risk.
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Feb 18, 2021 - R
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.
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Mar 4, 2021 - R
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