qlero / financial_metrics_comparisons

Comparisons of financial metrics (e.g. VaR vs CVaR/ES, simple vs log returns, etc.).

Simple comparisons of:

1. Value-at-Risk (VaR) and Expected Shortfall risk metrics applied to finance (using Goldman Sachs stock - GS)

2. Simple and logarithmic returns (using Goldman Sachs, Google, and Apple stocks - GS, GOOG, AAPL)

3. Kolmogorov-Smirnov Test (using Goldman Sachs - GS - to compare the company's stock return distribution to the normal distribution)

4. Simple implementation of the Black-Scholes option pricing formula

5. Simple implementation of the binomial tree option pricing formula