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 31 public repositories matching this topic...
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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Dec 23, 2025
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
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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Dec 15, 2025 - Julia
R package providing functions for computing Expected shortfall (ES) and Value at risk (VaR)
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Nov 9, 2022 - R
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
[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
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
A collection of approaches for forecasting VaR and ES, based on both autoregressive approaches and neural networks.
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Nov 22, 2025 - Python
A library for the calculation of tail risk measures
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Dec 17, 2024 - C++
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
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
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
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.
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Sep 21, 2021 - Julia
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.
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Sep 1, 2023 - R
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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May 14, 2025
Essential techniques to assess financial risks
risk-analysis monte-carlo-simulation var value-at-risk risk-management mvar risk-modelling expected-shortfall variance-covariance cvar conditional-value-at-risk avar portfolio-risk altman-z-score multi-asset-value-at-risk rachev-ratio historical-var value-at-risk-monte-carlo
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Nov 5, 2025 - R
The goal of esreg is to simultaneously model the quantile and the expected shortfall of a response variable given a set of covariates.
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May 13, 2023 - R
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
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