financial-risk-analytics
There are 1 repository under financial-risk-analytics topic.
- VaR-threshold-and-confidence-interval
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.
Language:Jupyter Notebook 6 arpanganguli / SFMF
Single-Factor and Multi-Factor Model for assessing credit risk for a loan portfolio.
Language:Python 3Sample Python calculator to calculate Basel III's new Standardised Approach (SA) for Counterparty Credit Risk (CCR)
Language:Python 2shoaib555 / Creation-of-an-India-Credit-Risk-Default-Model
The project involved developing a credit risk default model using a given data which had to be checked for outliers, missing values, multicollinearity etc. Univariate and Bivariate Analysis had to be conducted and the model had to be built using Logistic Regression on most important variables. Model Performance Measures were undertaken that included predicting the accuracy of the model on certain datasets.
Language:R 1nghiemria / risk-management-r
Calculate the return of a portfolio of securities as well as quantify the market risk of that portfolio, an important skill for financial market analysts in banks, hedge funds, insurance companies, and other financial services and investment firms.
Language:R 0