Comparisons of financial metrics (e.g. VaR vs CVaR/ES, simple vs log returns, etc.).
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Updated
Oct 23, 2019 - Jupyter Notebook
Comparisons of financial metrics (e.g. VaR vs CVaR/ES, simple vs log returns, etc.).
R package for nonparametric estimation of CES
Backtesting my current US stocks portfolio
Nonparametric methods concerning to expected shortfall
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.
[R] Statistical analysis of financial data conducted in R
Manuel Touyaa's porfotlio of Python projects/assignments for Finance Market Risk.
R package providing functions for computing Expected shortfall (ES) and Value at risk (VaR)
Curso ministrado por mim na Financial Risk Academy (FRA) sobre Introdução ao Risco de Mercado com Python
The goal of esreg is to simultaneously model the quantile and the expected shortfall of a response variable given a set of covariates.
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'
The purpose of investments is to obtain a profit. One type of investments that can be done is stock investment. Investors can diversify the stocks to reduce the risk of an investment. Stock diversification is done by combining several stocks and then forming a portfolio.
Repository represents python usability of measuring and managing risks (practice tasks and real cases)
Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
A library for the calculation of tail risk measures
A package for evaluating tail probabilities and partial moments for random vectors in multivariate generalized hyperbolic random vectors.
This repository consits of: projects and homeworks connected with research area such as Risk Management.
Financial Risk with Python
R Finance packages not listed in the Empirical Finance Task View
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