GitHub topics: conditional-value-at-risk
fortitudo-tech/pcrm-book
Portfolio Construction and Risk Management book's Python code.
Language: Jupyter Notebook - Size: 33.8 MB - Last synced at: 2 days ago - Pushed at: 11 days ago - Stars: 94 - Forks: 30
fortitudo-tech/fortitudo.tech
Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.
Language: Python - Size: 17.2 MB - Last synced at: 12 days ago - Pushed at: 12 days ago - Stars: 257 - Forks: 39
rishi-singh15/Monte-Carlo-Risk-Assessment
Using Monte Carlo Simulations to calculate the Value at Risk (VaR) and Conditional Value at Risk (CVaR) for a tech-heavy portfolio in stocks.
Language: Jupyter Notebook - Size: 281 KB - Last synced at: about 1 month ago - Pushed at: about 1 month ago - Stars: 0 - Forks: 0
ErikssonWilliam/Financial-Risk-Management
Estimation and forecasting of volatility using financial timeseries. Includes models like GARCH, EWMA, EqWMA and Rolling Window. Portfolio management using CVaR, EVT and Monte Carlo Simulation.
Language: MATLAB - Size: 1.27 MB - Last synced at: 2 months ago - Pushed at: 2 months ago - Stars: 0 - Forks: 0
fortitudo-tech/entropy-pooling
Entropy Pooling in Python with a BSD 3-Clause license.
Language: Python - Size: 271 KB - Last synced at: about 1 month ago - Pushed at: 7 months ago - Stars: 38 - Forks: 12
vladislavpyatnitskiy/risk
Financial Risk with Python
Language: Python - Size: 15.6 KB - Last synced at: 8 months ago - Pushed at: 8 months ago - Stars: 0 - Forks: 0
arunp77/MonteCarlo-simulation
Application to finance
Language: HTML - Size: 18.2 MB - Last synced at: 9 months ago - Pushed at: 9 months ago - Stars: 13 - Forks: 7
vladislavpyatnitskiy/Risk-Management-Analytics
Essential techniques to assess financial risks
Language: R - Size: 89.8 KB - Last synced at: 9 months ago - Pushed at: 9 months ago - Stars: 2 - Forks: 0
jojo142/Stress-Testing-Financial-Portfolios
Stress Testing Financial Portfolios using S&P 500 Stock Data from Kaggle.
Language: Jupyter Notebook - Size: 1.15 MB - Last synced at: 9 months ago - Pushed at: 9 months ago - Stars: 0 - Forks: 0
kconstable/quant-var
Monte Carlo Value-at-Risk | Conditional Value-at-Risk
Language: Jupyter Notebook - Size: 14.3 MB - Last synced at: about 1 year ago - Pushed at: about 1 year ago - Stars: 0 - Forks: 0
sebastianangerhausen/SPDPS
A Stochastic Primal-Dual Proximal Splitting Method for Risk-Averse Optimal Control of PDEs
Language: Julia - Size: 45.9 KB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 0 - Forks: 1
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.
Language: Julia - Size: 71.3 KB - Last synced at: 3 months ago - Pushed at: over 3 years ago - Stars: 2 - Forks: 1
SachaIZADI/stochastic-optimization
One-week side project to play around stochastic optimization (how to take *good* decisions under uncertainty)
Language: Python - Size: 15.4 MB - Last synced at: about 2 years ago - Pushed at: over 2 years ago - Stars: 1 - Forks: 2
