value-at-risk

There are 9 repositories under value-at-risk 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

• ApurvShah007 / portfolio-optimizer

  A collection of various computational methods to optimize a user's investment portfolio using Modern Portfolio Theory and optimizing various factors such as Returns, Sharpe Ratio and Risk.

  optimizationportfolio-optimizerportfolio-optimizationmodern-portfolio-theorysharpe-ratiorisk-assessmentefficient-frontierportfoliouser-investment-portfoliovalue-at-risk
  Language:Python 38

• BayerSe / VaR-Backtesting

  Implementation of a variety of Value-at-Risk backtests

  value-at-riskbacktesting
  Language:Python 32

• BayerSe / l1qr

  Lasso Quantile Regression

  lassovalue-at-riskquantile-regression
  Language:Python 27

• Buczman / CaviaR

  R code for CAViaR model

  value-at-riskquantile-regressioncaviar
  Language:R 25
• WQU-Projects

  sumit090594 / WQU-Projects

  Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement of clearing the courses.

  financial-engineeringrpythoneconometricsportfolio-managementmachine-learningmonte-carlo-simulationvalue-at-riskfourier-pricing-techniqueoption-pricingstatisticsrisk-managementmacroeconomicsderivativesblackscholesstochasticstochastic-processesrandom-walk
  Language:Jupyter Notebook 25

• EmanuelSommer / portvine

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

  expected-shortfallgarch-modelsrpackagevalue-at-riskvine-copulas
  Language:R 19

• MajorLift / volatility-modeling-python-datasci

  Undergraduate thesis, Seoul National University Dept. of Economics — "Modeling Volatility and Risk Spillover Between the Financial Markets of US and China Using GARCH Value-at-Risk Forecasting and Granger Causality."

  arima-forecastingdata-sciencedata-vizualizationfinancial-engineeringgarch-modelgranger-causalityjupyter-notebooknumpypandaspyplotpython3regression-modelsresearch-paperrisk-modellingscipy-statsseabornstatsmodelstime-series-analysisvalue-at-riskvolatility-modeling
  Language:HTML 18

• f-z / financial-modelling

  Financial modelling, derivatives, investments

  financefinancial-analysisfinancial-datafinancial-engineeringderivativesoptionsoption-pricingbinomial-modelblack-scholesblackscholesvaluationvalue-at-riskdividendsexcelstatarquantmodquantstrat
  Language:Java 14

• rafa-rod / vartests

  Statistical tests for Value at Risk (VaR) Models.

  backtestbacktestingberkowitzchristoffersenchristoffersen-pelletierduration-testfinancekupiec-teststatistical-testsvalue-at-risk
  Language:Python 13

• upathare1 / CoVaR-Conditional-VaR-Project

  Replication and extension of paper on Conditional Value at Risk (CoVaR) by Adrian and Brunnermeier.

  risk-modellingrisk-analysisvalue-at-risk
  Language:Jupyter Notebook 13

• arunp77 / MonteCarlo-simulation

  Application to finance

  conditional-value-at-riskcredit-risk-analysismarket-risk-managementmonte-carlo-simulationpythonrisk-analysisvalue-at-riskfinancefinance-managementyfinanceyfinance-apiyfinance-library
  Language:Jupyter Notebook 11

• SachaIZADI / stochastic-optimization

  One-week side project to play around stochastic optimization (how to take *good* decisions under uncertainty)

  gurobilinear-programmingnewsvendor-problemstochastic-optimizationconditional-value-at-riskknapsack-problemmixed-integer-programmingrobust-optimizationvalue-at-risk
  Language:Python 11
• value-at-risk

  databricks-industry-solutions / value-at-risk

  Shows how banks can modernize their risk management practices by back-testing, aggregating and scaling simulations by using a unified approach to data analytics with the Lakehouse.

  monte-carlovalue-at-riskfsidatabricksindustry-solutionsdatabricks-industry-solutions
  Language:Python 10

• 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

• yatshunlee / CAViaR

  Measure market risk by CAViaR model

  risk-managementcaviarmarket-riskquantitative-financequantitative-tradingvalue-at-riskvolatility-modelingquantile-regressionbacktestingvar-forecastingdqtestdynamic-quantile-testvar-backtesting
  Language:Jupyter Notebook 8

• aidinattar / Financial-Mathematics

  Weekly exercises of the course of Stochastic Methods for Finance.

  binomial-modelblack-scholescall-put-parityfinancegreeksjuliajupyter-notebookmonte-carlo-simulationoption-pricingvalue-at-risk
  Language:Jupyter Notebook 7

• 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

• rena95 / Loss-Distribution-Approach

  The repo contains the main topics carried out in my master's thesis on operational risk. In particular, it is described how to implement the so called Loss Distribution Approach (LDA), which is considered the state-of-the-art method to compute capital charge among large banks.

  risk-managementoperational-riskloss-distributionldaloss-distribution-approachextreme-value-statisticscopula-modelscopulavalue-at-riskr
  Language:R 7

• romainlafarguette / varfxi

  Model and replications scripts for the 2020 IMF Working Paper "Foreign Exchange Interventions Rules for Central Banks: A Risk-Based Framework"

  garch-modelvalue-at-risk
  Language:Jupyter Notebook 7

• GimleDigital / Value-at-Risk

  Proposed solutions to selected exercises in the book "Value-at-Risk: Theory and Practice" (2nd edition) by Glyn A. Holton.

  fintechopen-innovationrisk-managementmarket-riskvalue-at-risk
  Language:Scala 6
• 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.

  financeequityequity-marketsequity-researchextreme-value-theoryfinancial-riskfinancial-risk-analyticsgeneralized-pareto-distributionquantitative-risk-analysisstockstock-marketvalue-at-risk
  Language:Jupyter Notebook 6

• 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

• 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

• nchukalovskiy / bonds-risk

  Financial risks of bonds

  rmathematicabondsfixed-incomemarket-riskcredit-riskcollateralrisk-managementvaluationvalue-at-riskdata-science
  Language:Mathematica 5

• greyfin2707 / VaR-calculation

  Calculation of Value at Risk using Generalized normal distribution, EGARCH and GARCH + EVT

  pyhtonfinancevalue-at-riskegarchgarch-modelgarchevtrisk-management
  Language:Jupyter Notebook 4

• 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

• wilson-chen-GSMICS / market_risk_analysis

  Code for value-at-risk calculation and backtesting.

  financialvalue-at-riskgarch-modelbacktesting
  Language:Jupyter Notebook 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

• DataSphereX / Finance-and-Risk-Analytics

  To provide complete workflow from Inferential Analytics, Predictive Analytics, Prescriptive Analytics and Evaluate the performance of prescriptions

  risk-analyticsrandom-number-generatorsmonte-carlo-simulationperformance-benchmarkingvalue-at-risk
  Language:R 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-shortfallgarch-modelsmaster-thesisvalue-at-riskvine-copulas
  Language:HTML 3
• DSE_Analyzer

  tanvird3 / DSE_Analyzer

  Analyzer for Instruments of Dhaka Stock Exchange

  dhaka-stock-exchangetechnical-analysisvalue-at-riskstock-market
  Language:R 3

• thk-cheng / Backtest_US_Portfolio

  Backtesting my current US stocks portfolio

  tidyquantquantmodtidyverseportfolio-analysiscapmvalue-at-riskexpected-shortfallquantitative-financesharpe-ratiobacktestingbacktesting-trading-strategies
  Language:R 3

• NicoHerrig95 / Quant_Risk_Models

  Parts of code from my MSc. dissertation project. Uses yahoo API to load past stock data for training and backtesting various traditional and experimental models for VaR calculation. Written in R & Python.

  cnnfinancekerasneural-networkstensorflowvalue-at-risklstm-neural-networks
  Language:R 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-managementstochastic-processesvalue-at-riskrisk-metrics
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