market-risk

There are 3 repositories under market-risk topic.

OpenGamma / Strata
Open source analytics and market risk library from OpenGamma
opengamma java strata market-risk finance derivatives otc etd quantitative-finance
Language:Java 823
DROP
lakshmiDRIP / DROP
Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics
fixed-income bond asset-allocation transaction-cost-analytics counterparty-risk cva-dva-fva-kva-xva statistical-learning asset-backed portfolio-optimization market-risk credit-risk corporates loans municipals emerging-market inflation-linked interest-rates fx treasury java
Language:HTML 108
hamaadshah / market_risk_gan_tensorflow
Using Bidirectional Generative Adversarial Networks to estimate Value-at-Risk for Market Risk Management using TensorFlow.
financial-services finance market-risk generative-adversarial-network machine-learning data-science deep-learning python r keras market-risk-management bigan risk tensorflow
Language:Python 83
TommasoBelluzzo / StrataXL
An Excel integration of OpenGamma Strata.
derivatives derivatives-pricing market-risk financial-analysis financial-instruments financial-markets quantitative-analysis quantitative-finance quantitative-methods risk-analysis risk-models risk-management pricing-derivatives yield-curve yield-curve-calibration
Language:VBA 11
SiruiJi / ml4frm
Machine learning for financial risk management
market-risk time-series-analysis volatility-modeling credit-risk liquidity-risk operational-risk other-financial-risk-modeling
Language:Python 9
exceljava / strata-excel
Excel bindings for OpenGamma's Strata library
analytics derivatives etd excel finance java market-risk opengamma otc quantitative-finance strata
Language:Java 8
mcf-long-short / quantitative-risk-management
Practical, hands-on risk modeling, risk assessment and verifications of risk models across major risk classes and understanding risk regulation as well. Implementing risk models in Python, R and Excel.
market-risk python quantitative-risk-analysis risk-management risk-modelling r-programming
Language:HTML 8
OpenGamma / JavaSDK
Java SDK providing access to the OpenGamma API
derivatives finance java margining market-risk opengamma sdk
Language:Java 8
yatshunlee / CAViaR
Measure market risk by CAViaR model
risk-management caviar market-risk quantitative-finance quantitative-trading value-at-risk volatility-modeling quantile-regression backtesting var-forecasting dqtest dynamic-quantile-test var-backtesting
Language:Jupyter Notebook 8
mtouyaa / Python-for-MarketRisk
Manuel Touyaa's porfotlio of Python projects/assignments for Finance Market Risk.
python market-risk finance black-scholes monte-carlo value-at-risk expected-shortfall pnl frtb basel-3 basel-iii backtesting hpl rtpl
Language:Jupyter Notebook 7
craquinterogo / quantitative_finance
Testing Code abount quantitative finance algorithms
quantitative-finance derivatives python cpp market-risk liquidity-risk
Language:Jupyter Notebook 6
danielnegrini / livro-derivativos-e-risco-de-mercado
Repositório com o código-fonte do Derivativos e Risco de Mercado
derivative-pricing derivatives risk market market-risk
Language:Jupyter Notebook 6
GimleDigital / Value-at-Risk
Proposed solutions to selected exercises in the book "Value-at-Risk: Theory and Practice" (2nd edition) by Glyn A. Holton.
fintech open-innovation risk-management market-risk value-at-risk
Language:Scala 6
nchukalovskiy / bonds-risk
Financial risks of bonds
r mathematica bonds fixed-income market-risk credit-risk collateral risk-management valuation value-at-risk data-science
Language:Mathematica 5
AndreasTheodoulou / Market-Risk-Modelling-Thesis
Statistical techniques for Market Risk Modelling (VaR and ES)
market-risk statistical-methods
Language:MATLAB 4
1danjordan / mmr
Measuring Market Risk in R
r tidy risk finance risk-modelling market-risk
Language:R 3
olesyamba / Risk_analysis
Repository represents python usability of measuring and managing risks (practice tasks and real cases)
credit-risk expected-shortfall hedging jyputer-notebook market-risk portfolio-risk python risk-measures risk-modelling value-at-risk
Language:Jupyter Notebook 1
PS-QL / JforFinance
Treasury products valuation and risk measurement using J programming -- under progress
j finance valuation market-risk
Language:Jupyter Notebook 1
Honey28Git / Finance-Risk-and-Analytics
These are two sets of Analysis done in this Project. Financial Risk Analysis to check the Credibility of companies and Market Risk Analysis for 10 different Indian Stocks.
market-risk stock stock-analysis volatility
Language:Jupyter Notebook
primepi / Risk_Management
financial risk management projects
credit-risk market-risk statistical-modelling
Language:Jupyter Notebook