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The Top 8 Value At Risk Open Source Projects

Open source projects categorized as Value At Risk
Categories > Value At Risk
Python_portfolio__var_tool ⭐ 62
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 an individual stock and portfolio-basis, stand-alone and vs. a benchmark of choice (constructed with wxPython)
most recent commit 3 years ago
Portvine ⭐ 16
Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
total releases 1most recent commit 5 months ago
Volatility Modeling Python Datasci ⭐ 13
Undergraduate Thesis published by the Seoul National University Department of Economics (2020)
most recent commit 10 months ago
Caviar ⭐ 11
R code for CAViaR model
most recent commit 3 years ago
Portfolio Optimizer ⭐ 9
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.
most recent commit 4 years ago
Vartests ⭐ 8
Statistical tests for Value at Risk (VaR) Models.
total releases 31most recent commit 10 months ago
L1qr ⭐ 8
Lasso Quantile Regression
most recent commit 4 years ago
Varfxi ⭐ 5
Model and replications scripts for the 2020 IMF Working Paper "Foreign Exchange Interventions Rules for Central Banks: A Risk-Based Framework"
total releases 4most recent commit a year ago
The 3 Latest Releases In Value At Risk Open Source Projects
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