Topic: "expected-shortfall"
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: 25 days ago - Pushed at: over 1 year ago - Stars: 22 - Forks: 4
BayerSe/esback
Expected Shortfall Backtesting
Language: R - Size: 613 KB - Last synced at: 5 months ago - Pushed at: over 1 year ago - Stars: 12 - Forks: 4
Beliavsky/R-Finance-Task-View-Supplement
R Finance packages not listed in the Empirical Finance Task View
Size: 191 KB - Last synced at: about 1 month ago - Pushed at: 2 months ago - Stars: 11 - Forks: 1
GeoBosh/cvar
R package providing functions for computing Expected shortfall (ES) and Value at risk (VaR)
Language: R - Size: 1.35 MB - Last synced at: 2 days ago - Pushed at: over 2 years ago - Stars: 6 - Forks: 3
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: about 2 months ago - Pushed at: about 2 months ago - Stars: 5 - Forks: 2
open-risk/tailRisk
A library for the calculation of tail risk measures
Language: C++ - Size: 71.3 KB - Last synced at: about 1 month ago - Pushed at: 5 months ago - Stars: 5 - Forks: 2
qlero/financial_metrics_comparisons 📦
Comparisons of financial metrics (e.g. VaR vs CVaR/ES, simple vs log returns, etc.).
Language: Jupyter Notebook - Size: 780 KB - Last synced at: almost 2 years ago - Pushed at: over 5 years ago - Stars: 5 - Forks: 3
bjam24/agh-quantitative-measures-of-market-risk
This repository consits of: projects and homeworks connected with research area such as Risk Management.
Language: Jupyter Notebook - Size: 3.06 MB - Last synced at: about 1 month ago - Pushed at: 10 months ago - Stars: 3 - Forks: 1
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
Size: 40.3 MB - Last synced at: 2 days ago - Pushed at: 2 days ago - Stars: 2 - Forks: 1
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
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.
Language: R - Size: 181 KB - Last synced at: almost 2 years ago - Pushed at: about 2 years ago - Stars: 2 - Forks: 2
ericyung1998/financial-analysis-r
[R] Statistical analysis of financial data conducted in R
Language: R - Size: 8.98 MB - Last synced at: over 1 year ago - Pushed at: over 3 years ago - Stars: 2 - Forks: 0
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
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
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
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
olesyamba/Risk_analysis
Repository represents python usability of measuring and managing risks (practice tasks and real cases)
Language: Jupyter Notebook - Size: 2.39 MB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 0 - Forks: 0
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'
Language: HTML - Size: 34.7 MB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 0 - Forks: 0
ygeunkim/ceshat
R package for nonparametric estimation of CES
Language: R - Size: 113 KB - Last synced at: about 2 years ago - Pushed at: over 5 years ago - Stars: 0 - Forks: 1