value-at-risk topic

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.

ApurvShah007

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 a...

MBKraus

Lasso Quantile Regression

BayerSe

Implementation of a variety of Value-at-Risk backtests

BayerSe

Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement of clearing the courses.

sumit090594

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 Gra...

MajorLift

R code for CAViaR model

Buczman

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

EmanuelSommer