NicoHerrig95 / Quant_Risk_Models

Parts of code from my MSc. dissertation project. Uses yahoo API to load past stock data for training and backtesting various traditional and experimental models for VaR calculation. Written in R & Python.

Quantitative Risk Models (MSc Dissertation Repo)

--> Repo contains parts of my MSc dissertation project, for reusage. Code provides a framework written in R for automated computation of VaR based on different time series models (GARCH, CMM, historical simulation) and experimental neural networks (LSTM-MDN architecture, implemented in python using TensorFlow/Keras framework).

Description

The repo mainly contains an automated pipeline downloading stock data, training various models for VaR calculation and running backtesting on each model. Code can be fully run via one-line execution (by running the execution.R script).

Instruction

Code and Scripts

TBC