expected-shortfall

Expected Shortfall Backtesting

Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.

Comparisons of financial metrics (e.g. VaR vs CVaR/ES, simple vs log returns, etc.).

Manuel Touyaa's porfotlio of Python projects/assignments for Finance Market Risk.

A package for evaluating tail probabilities and partial moments for random vectors in multivariate generalized hyperbolic random vectors.

R package providing functions for computing Expected shortfall (ES) and Value at risk (VaR)

The goal of esreg is to simultaneously model the quantile and the expected shortfall of a response variable given a set of covariates.

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.

A library for the calculation of tail risk measures

This repository consits of: own written code, projects and homeworks connected with research areas such as: Risk Management, Credit Risk and Operational Risk

[R] Statistical analysis of financial data conducted in R

Nonparametric methods concerning to expected shortfall

Backtesting my current US stocks portfolio

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'

R package for nonparametric estimation of CES