9 skills found
BayerSe / VaR BacktestingImplementation of a variety of Value-at-Risk backtests
Carlossn / Py Pair Trading And VAR Analysis For Energy StocksCQF Project based on introducing Pair Trading for Energy Stocks with VAR (Vector Autoregression), Engle Granger Approach, Backtesting, Optimization and Factor Analysis
yatshunlee / CAViaRMeasure market risk by CAViaR model
cmf-team / Importance Sampling 2022Creating, training and backtesting of VaR and ES models based on Importance Sampling
MehrdadHeyrani / Time Series Analysis In RUnivariate Time Series Modeling (ARMA, ARIMA, ARFIMA), Volatility Modeling and Forecasting (Rolling Window), Value at Risk (VaR) Forecasting and Backtesting
BethelegendT / Market Var Backtest StressMarket VaR/ES in Python: historical/normal/EWMA, rolling backtests (exceptions + Kupiec), and stress testing.
nite4 / Masters ProjectThis is the code used for my Master's thesis empirical study. In short: frequentist and Bayesian estimator of VAR–DCC-GARCH and later Value at Risk with backtesting.
BethelegendT / Risk Modeling PortfolioRisk Modeling Portfolio (Excel + Python) — Credit portfolio EL/VaR/ES + stress & calibration (Excel); Market VaR/ES backtesting (Kupiec) + stress testing (Python). (Portfolio link)
shaoty8 / Financial Risk ManagementDesign a model to compute all sorts of VaR of a portfolio(stocks and options) and backtest