Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
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Jan 22, 2024 - R
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expected-shortfall
Here are 125 public repositories matching this topic...
Manuel Touyaa's porfotlio of Python projects/assignments for Finance Market Risk.
python finance monte-carlo market-risk pnl value-at-risk black-scholes backtesting hpl expected-shortfall frtb basel-3 rtpl basel-iii
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Mar 5, 2022 - Jupyter Notebook
R Finance packages not listed in the Empirical Finance Task View
finance list cran r cryptocurrency option-pricing quantitative-finance r-package financial-data garch value-at-risk time-series-analysis cran-r expected-shortfall r-packages stochastic-volatility
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Aug 1, 2026
Portfolio Value-at-Risk (VaR) and Conditional VaR (Expected Shortfall) engine calculating tail risk across parametric and historical loss distributions.
mcp zero-dependency var value-at-risk risk-management expected-shortfall cvar portfolio-risk agentic-ai model-context-protocol mcp-server
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Sep 28, 2026 - Python
Portfolio Value-at-Risk (VaR) and Conditional VaR (Expected Shortfall) engine calculating tail risk across parametric and historical loss distributions.
mcp zero-dependency var value-at-risk risk-management expected-shortfall cvar portfolio-risk agentic-ai model-context-protocol mcp-server
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Sep 28, 2026 - Python
Comparisons of financial metrics (e.g. VaR vs CVaR/ES, simple vs log returns, etc.).
finance risk financial-analysis financial-markets value-at-risk expected-shortfall financial-modeling logarithmic-return
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Oct 23, 2019 - Jupyter Notebook
A package for evaluating tail probabilities and partial moments for random vectors in multivariate generalized hyperbolic random vectors.
variance-gamma value-at-risk partial-moments expected-shortfall saddlepoint-approximation normal-inverse-gaussian quadratic-forms imhof tail-probabilities generalized-hyperbolic-distribution students-t inversion-formula
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May 29, 2026 - Julia
A collection of approaches for forecasting VaR and ES, based on both autoregressive approaches and neural networks.
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Apr 19, 2026 - Python
R package providing functions for computing Expected shortfall (ES) and Value at risk (VaR)
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Aug 25, 2026 - R
Production-grade open-source Market Risk Engine 🚀💹 – Full-stack FastAPI (Python) + React 19/TypeScript with a sleek fintech dark-theme dashboard.Compute VaR & CVaR via multiple methods, advanced stress testing (historical crises + custom), VaR backtesting (Kupiec test), and rich portfolio analytics.
react python open-source data-science typescript stress-testing fintech var risk-management backtesting expected-shortfall fastapi portfolio-analytics yfinance cvar quant-finance
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Dec 23, 2025 - Jupyter Notebook
This repository consits of: projects and homeworks connected with research area such as Risk Management.
portfolio correlation risk-analysis historical garch value-at-risk risk-management risk-modelling expected-shortfall ewma rate-of-return
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Jul 12, 2024 - Jupyter Notebook
[R] Statistical analysis of financial data conducted in R
r statistics arch optimization regression acf var arima financial-analysis anova garch aic normal-distribution expected-shortfall natural-splines exponential-distribution pacf qq-plot
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Jan 31, 2022 - R
A library for the calculation of tail risk measures
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Sep 28, 2026 - C++
Market risk analytics dashboard in Python and Streamlit that computes portfolio volatility, drawdowns, VaR/ES, rolling correlations, and stress tests (shocks + COVID‑style crisis window) for equity/ETF portfolios.
python finance data-science time-series numpy pandas data-visualization var quantitative-finance market-risk value-at-risk risk-management portfolio-analysis expected-shortfall streamlit yfinance cvar
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Jan 3, 2026 - Python
Backtesting my current US stocks portfolio
tidyverse sharpe-ratio quantitative-finance quantmod backtesting-trading-strategies value-at-risk capm backtesting portfolio-analysis tidyquant expected-shortfall
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Oct 18, 2020 - R
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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Aug 24, 2023 - HTML
FRTB IMA-compliant daily VaR/Expected Shortfall risk monitor: stress calibration, liquidity-horizon scaling, NMRF checks, Acerbi-Szekely/Kupiec/Christoffersen backtesting, a Plotly Dash dashboard, and Claude-generated narratives.
python postgresql quantitative-finance market-risk value-at-risk risk-management backtesting expected-shortfall frtb plotly-dash
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Sep 29, 2026 - Python
Curso ministrado por mim na Financial Risk Academy (FRA) sobre Introdução ao Risco de Mercado com Python
garch stochastic-processes backtest value-at-risk risk-management arima-model expected-shortfall drawdown garch-models risk-metrics
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Mar 21, 2026
Repository represents python usability of measuring and managing risks (practice tasks and real cases)
python market-risk value-at-risk hedging risk-modelling expected-shortfall credit-risk risk-measures jyputer-notebook portfolio-risk
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Sep 27, 2023 - Jupyter Notebook
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