historical-simulation

There are 0 repository under historical-simulation topic.

• MBKraus / Python_Portfolio__VaR_Tool

  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)

  pythonportfoliostockinvestmentriskvalue-at-risksp500-real-time-datareturnsharpe-ratiomonte-carlo-simulationhistorical-simulationvariance-covarianceyahoo-financewxpythongeometric-brownian-motionheatmaprisk-managementbetabenchmarkstock-widget
  Language:Python 112

• lyx66 / Value-at-Risk-VaR-Based-on-Historical-Simulation-in-Conjunction-with-GARCH-Model

  Python code for rolling Value at Risk(VaR) of fiancial assets and some of economic time series, based on the procedure proposed by Hull & White(1998).

  value-at-riskgarch-modelshistorical-simulationtime-series
  Language:Jupyter Notebook 9