expected-shortfall

There are 0 repository under expected-shortfall topic.

• EmanuelSommer / portvine

  Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.

  vine-copulasrpackageexpected-shortfallvalue-at-riskgarch-models
  Language:R 19

• BayerSe / esback

  Expected Shortfall Backtesting

  expected-shortfallbacktestingr
  Language:R 11

• mtouyaa / Python-for-MarketRisk

  Manuel Touyaa's porfotlio of Python projects/assignments for Finance Market Risk.

  pythonmarket-riskfinanceblack-scholesmonte-carlovalue-at-riskexpected-shortfallpnlfrtbbasel-3basel-iiibacktestinghplrtpl
  Language:Jupyter Notebook 7

• qlero / financial_metrics_comparisons

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

  financefinancial-marketsfinancial-analysisvalue-at-riskexpected-shortfallfinancial-modelinglogarithmic-returnrisk
  Language:Jupyter Notebook 6

• ericyung1998 / financial-analysis-r

  [R] Statistical analysis of financial data conducted in R

  financial-analysisstatisticsrnormal-distributionexponential-distributionqq-plotvarexpected-shortfallanovaregressionoptimizationnatural-splinesacfpacfaicarimaarchgarch
  Language:R 5

• GeoBosh / cvar

  R package providing functions for computing Expected shortfall (ES) and Value at risk (VaR)

  value-at-riskexpected-shortfallriskquantile-functionslocations-scale-transformationsquantile
  Language:R 5

• open-risk / tailRisk

  A library for the calculation of tail risk measures

  risk-measurequantile-functionsexpected-shortfallvalue-at-risk
  Language:C++ 4

• s-broda / QuadraticFormsMGHyp.jl

  A package for evaluating tail probabilities and partial moments for random vectors in multivariate generalized hyperbolic random vectors.

  imhofquadratic-formstail-probabilitiesexpected-shortfallvalue-at-riskgeneralized-hyperbolic-distributionvariance-gammanormal-inverse-gaussianstudents-tpartial-momentssaddlepoint-approximationinversion-formula
  Language:Julia 4

• bjam24 / agh-quantitative-measures-of-market-risk

  This repository consits of: projects and homeworks connected with research area such as Risk Management.

  rate-of-returnvalue-at-riskewmagarchhistoricalportfoliorisk-managementrisk-analysisrisk-modellingexpected-shortfallcorrelation
  Language:Jupyter Notebook 3

• 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'

  expected-shortfallvalue-at-riskvine-copulasgarch-modelsmaster-thesis
  Language:HTML 3

• thk-cheng / Backtest_US_Portfolio

  Backtesting my current US stocks portfolio

  backtestingbacktesting-trading-strategiescapmexpected-shortfallportfolio-analysisquantitative-financequantmodsharpe-ratiotidyquanttidyversevalue-at-risk
  Language:R 3

• BayerSe / esreg

  The goal of esreg is to simultaneously model the quantile and the expected shortfall of a response variable given a set of covariates.

  value-at-riskquantile-regressionexpected-shortfallcran
  Language:R 2

• febrinadevitas / Constant-Correlation-Model-for-Optimal-Portfolio-Formation-and-Expected-Shortfall-Risk-Measurement

  The purpose of investments is to obtain a profit. One type of investments that can be done is stock investment. Investors can diversify the stocks to reduce the risk of an investment. Stock diversification is done by combining several stocks and then forming a portfolio.

  expected-shortfallinvestment-analysisinvestment-portfoliomonte-carlo-simulationrisk-analysis
  Language:R 2

• 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.

  conditional-value-at-riskrisk-measureexpected-shortfallcoherent-risk-measure
  Language:Julia 2

• rafa-rod / Curso-Introducao-Risco-de-Mercado-em-Python---Financial-Risk-Academy

  Curso ministrado por mim na Financial Risk Academy (FRA) sobre Introdução ao Risco de Mercado com Python

  arima-modelbacktestdrawdownexpected-shortfallgarchgarch-modelsrisk-managementrisk-metricsstochastic-processesvalue-at-risk
  2

• olesyamba / Risk_analysis

  Repository represents python usability of measuring and managing risks (practice tasks and real cases)

  credit-riskexpected-shortfallhedgingjyputer-notebookmarket-riskportfolio-riskpythonrisk-measuresrisk-modellingvalue-at-risk
  Language:Jupyter Notebook 1

• vladislavpyatnitskiy / Risk-Management-Analytics

  Essential techniques to assess financial risks

  risk-analysisrisk-managementrisk-modellingmonte-carlo-simulationvalue-at-riskaltman-z-scoreconditional-value-at-riskcvarexpected-shortfallmvarportfolio-riskvarmulti-asset-value-at-riskrachev-ratioavarvariance-covariancehistorical-var
  Language:R 1

• ygeunkim / nonparam-cvar

  Nonparametric methods concerning to expected shortfall

  rnonparametric-statisticsvalue-at-riskexpected-shortfalllocal-linear-kernelnadaraya-watson
  Language:TeX 1

• ygeunkim / ceshat

  R package for nonparametric estimation of CES

  rnonparametric-statisticsexpected-shortfallvalue-at-risknadaraya-watsonlocal-linear-kernel
  Language:R 0