dimitris-markopoulos/quantitative-finance

A collection of quantitative finance projects covering option pricing, risk analysis, volatility modeling, and investment strategies. Includes Monte Carlo simulations, Black-Scholes & Heston models, the Kelly Criterion, and more.

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ferrangarciarovira/VaR-Volatility-Models

Comparative analysis of Value at Risk (VaR) measures using Black-Scholes pricing under different volatility models: jump diffusion and rough volatility.

Language: Python - Size: 431 KB - Last synced at: 1 day ago - Pushed at: 2 days ago - Stars: 0 - Forks: 0

vladislavpyatnitskiy/financial.data.visualisation

Useful graphs for financial projects

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f-z/financial-modelling

Financial modelling, derivatives, investments

Language: Java - Size: 6.26 MB - Last synced at: 3 days ago - Pushed at: almost 6 years ago - Stars: 15 - Forks: 5

s-broda/QuadraticFormsMGHyp.jl

A package for evaluating tail probabilities and partial moments for random vectors in multivariate generalized hyperbolic random vectors.

Language: Julia - Size: 708 KB - Last synced at: 25 days ago - Pushed at: 25 days ago - Stars: 5 - Forks: 2

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.

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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."

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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.

Language: Python - Size: 250 KB - Last synced at: 17 days ago - Pushed at: over 4 years ago - Stars: 40 - Forks: 12

Beliavsky/R-Finance-Task-View-Supplement

R Finance packages not listed in the Empirical Finance Task View

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i-am-surovi/mat120-project-bracu

I have done this project for my Mat120 course. This is about to calculate Value at Risk (VaR) which has immence importance on Risk Management as well as in Global Economy. I use Monte Carlo Method to calculate.

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s1dewalker/Portfolio_Analysis

MPT in Python | Efficient Frontier modeling, Fama French 3 Factor Analysis, Monte Carlo Simulations and Portfolio Risk Analysis (Sharpe, VaR)

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gestrellav/Value_at_Risk_Methodologies

In this section we will see all the existing methodologies for Value at Risk.

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Milanpeter-77/Personal-VaR-on-Stock-Returns

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slang5/VBACodeBank

Une collection de fonctions VBA, conçues pour améliorer votre efficacité dans la gestion des données et des processus dans Excel.

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KarelZe/cs50finalproject

This is my cs50 final project

Language: Python - Size: 153 KB - Last synced at: about 2 months ago - Pushed at: about 8 years ago - Stars: 0 - Forks: 0

open-risk/tailRisk

A library for the calculation of tail risk measures

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yatshunlee/CAViaR

Measure market risk by CAViaR model

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gaugau3000/portfolio-inc-var-api

Rest Api risk management trading tool based on incremental value at risk

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EmanuelSommer/portvine

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

Language: R - Size: 32.2 MB - Last synced at: about 1 month ago - Pushed at: about 1 year ago - Stars: 22 - Forks: 4

vladislavpyatnitskiy/risk

Financial Risk with Python

Language: Python - Size: 15.6 KB - Last synced at: 7 months ago - Pushed at: 7 months ago - Stars: 0 - Forks: 0

arunp77/MonteCarlo-simulation

Application to finance

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vladislavpyatnitskiy/Risk-Management-Analytics

Essential techniques to assess financial risks

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GeoBosh/cvar

R package providing functions for computing Expected shortfall (ES) and Value at risk (VaR)

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bjam24/agh-quantitative-measures-of-market-risk

This repository consits of: projects and homeworks connected with research area such as Risk Management.

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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

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rafa-rod/vartests

Statistical tests for Value at Risk (VaR) Models.

Language: Python - Size: 98.6 KB - Last synced at: 8 months ago - Pushed at: over 1 year ago - Stars: 13 - Forks: 6

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.

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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.

Language: Python - Size: 1.13 MB - Last synced at: about 1 year ago - Pushed at: about 1 year ago - Stars: 9 - Forks: 7

Buczman/CaviaR

R code for CAViaR model

Language: R - Size: 77.1 KB - Last synced at: about 1 year ago - Pushed at: over 3 years ago - Stars: 24 - Forks: 14

nchukalovskiy/bonds-risk

Financial risks of bonds

Language: Mathematica - Size: 15.6 KB - Last synced at: about 1 year ago - Pushed at: over 6 years ago - Stars: 4 - Forks: 2

romainlafarguette/varfxi

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

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aliaksei135/VpfPF

Implementation for "The Price of a Safe Flight: Risk Cost Based Path Planning" [Accepted Presentation ICRA 2024]

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DataSphereX/Finance-and-Risk-Analytics

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

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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.

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upathare1/CoVaR-Conditional-VaR-Project

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

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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)

Language: Python - Size: 1.27 MB - Last synced at: over 1 year ago - Pushed at: about 4 years ago - Stars: 104 - Forks: 35

olesyamba/Risk_analysis

Repository represents python usability of measuring and managing risks (practice tasks and real cases)

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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'

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jsutch/Data_Analysis_and_Visualization_With_Python

A variety of analysis examples primarily using pandas, numpy and seaborn.

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greyfin2707/VaR-calculation

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

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qlero/financial_metrics_comparisons 📦

Comparisons of financial metrics (e.g. VaR vs CVaR/ES, simple vs log returns, etc.).

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anshhagrawal/VAR-Calculation

In this jupyter notebook file, I fetched historical stock price data of Zomato (Listed NSE) from Yahoo Finance and calculated Vakue at Risk.

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bhroben/Assignments-Stochastic-methods-for-finance

These reports were developed for the course Stochastic methods for finance

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botdotpy/Value-at-Risk-model

This model seeks to determine the maximum portfolio investment risk at given confidence levels.

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BayerSe/l1qr

Lasso Quantile Regression

Language: Python - Size: 1.13 MB - Last synced at: over 1 year ago - Pushed at: over 5 years ago - Stars: 23 - Forks: 8

sachinshastri23/Value-At-Risk

Calculate VaR of Tesla Equity share with Historical, Variance-Covariance and MonteCarlo simulations methods

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BayerSe/VaR-Backtesting

Implementation of a variety of Value-at-Risk backtests

Language: Python - Size: 691 KB - Last synced at: over 1 year ago - Pushed at: almost 6 years ago - Stars: 26 - Forks: 14

mbidinlib/VaR_GARCH_Model

Modeling Value-at-Risk of a Mongolian Exchange Rae (MNT/USD) using the GARCH type model in Python

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medvedev-gs/Fin_math

В этом репозитории собраны примеры базовых финансовых расчетов.

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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).

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kirui93/MasterThesis

The files contained in this repository were used for implementing the three models in my master thesis. My master thesis title is "Comparison of different portfolio optimization problems with different risk measures".

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SachaIZADI/stochastic-optimization

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

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tanvird3/DSE_Analyzer

Analyzer for Instruments of Dhaka Stock Exchange

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itsDV7/WorkingWithStocks_Project

This project is a basic look into using R Programming to work on stocks.

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maltseva88/Pandas-Portfolio-Analysis-

Conducting portfolio analysis using pandas dictionaries

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GimleDigital/Value-at-Risk

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

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aidinattar/Financial-Mathematics

Weekly exercises of the course of Stochastic Methods for Finance.

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jeckonov/Financial-analysis

Automatized-analysis-via-yfinance-API. First-notebook -> Value at Risk at various confidence level for multiple assets

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calvinnsmith/Financial-Risk

Repository for the course 'Financial Risk' at Gothenburg University

Language: R - Size: 1.67 MB - Last synced at: almost 2 years ago - Pushed at: over 2 years ago - Stars: 0 - Forks: 0

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.

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RokasGy/mortalitySSM

State-space models for statistical mortality projections

Language: R - Size: 33.2 KB - Last synced at: 8 days ago - Pushed at: almost 3 years ago - Stars: 0 - Forks: 0

BayerSe/esreg

The goal of esreg is to simultaneously model the quantile and the expected shortfall of a response variable given a set of covariates.

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ygeunkim/nonparam-cvar

Nonparametric methods concerning to expected shortfall

Language: TeX - Size: 9.98 MB - Last synced at: about 2 years ago - Pushed at: almost 4 years ago - Stars: 1 - Forks: 2

lorenzomancini1/Finance_reports

Size: 1.9 MB - Last synced at: about 2 years ago - Pushed at: over 3 years ago - Stars: 0 - Forks: 0

thk-cheng/Backtest_US_Portfolio

Backtesting my current US stocks portfolio

Language: R - Size: 22.5 KB - Last synced at: about 2 years ago - Pushed at: over 4 years ago - Stars: 1 - Forks: 1

cairebarletta/var_garch_ibov

Artigo finalizado em 06/08/2021 como membro do Núcleo de Riscos & Derivativos, para o Clube de Finanças, Liga Acadêmica de Mercado Financeiro da UDESC & UFSC.

Language: R - Size: 372 KB - Last synced at: almost 2 years ago - Pushed at: over 3 years ago - Stars: 0 - Forks: 0

ygeunkim/ceshat

R package for nonparametric estimation of CES

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