GitHub - ErikssonWilliam/Financial-Risk-Management: Estimation and forecasting of volatility using Financial Timeseries with Copulas. Includes models like GARCH, EWMA and EqWMA. Market risk management using CVaR, EVT, Risk Factors and Monte Carlo Simulation.

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Financial-Risk-Management

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Estimation and forecasting of volatility using Financial Timeseries with Copulas. Includes models like GARCH, EWMA and EqWMA. Market risk management using CVaR, EVT, Risk Factors and Monte Carlo Simulation.

conditional-value-at-risk copulas ewma extreme-value-theory garch-models kurtosis log-likelihood monte-carlo-simulation risk-factors skewness taylor-expansion time-series volatility-modeling

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conditional-value-at-risk copulas ewma extreme-value-theory garch-models kurtosis log-likelihood monte-carlo-simulation risk-factors skewness taylor-expansion time-series volatility-modeling

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