conditional-value-at-risk

Entropy Pooling views and stress testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.

Portfolio Construction and Risk Management book's Python code.

Entropy Pooling in Python with a BSD 3-Clause license.

Application to finance

Conditional Value-at-Risk (CVaR) portfolio optimization benchmark problems for fully general Monte Carlo distributions and derivatives portfolios.

One-week side project to play around stochastic optimization (how to take *good* decisions under uncertainty)

Stress Testing Financial Portfolios using S&P 500 Stock Data from Kaggle.

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.

Essential techniques to assess financial risks

Monte Carlo Value-at-Risk | Conditional Value-at-Risk

A trading bot that uses convex optimization

A Stochastic Primal-Dual Proximal Splitting Method for Risk-Averse Optimal Control of PDEs

Financial Risk with Python

Monte Carlo simulation estimating a portfolio's Value at Risk and Conditional Value at Risk at 95% confidence.

Empirical evaluation of Value-at-Risk and Conditional Value-at-Risk using parametric, historical, Monte Carlo, and EVT methods on a multi-asset portfolio

Monte Carlo portfolio risk simulator using correlated Geometric Brownian Motion to estimate VaR/CVaR, backtest risk models, and analyze tail risk using Student-t and EWMA volatility methods.

Using Monte Carlo Simulations to calculate the Value at Risk (VaR) and Conditional Value at Risk (CVaR) for a tech-heavy portfolio in stocks.

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.