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

Expected Shortfall Backtesting

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

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

[R] Statistical analysis of financial data conducted in R

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

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

A library for the calculation of tail risk measures

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'

This repository consits of: projects and homeworks connected with research area such as Risk Management.

Backtesting my current US stocks portfolio

Curso ministrado por mim na Financial Risk Academy (FRA) sobre Introdução ao Risco de Mercado com Python

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.

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.

Essential techniques to assess financial risks

Nonparametric methods concerning to expected shortfall

Repository represents python usability of measuring and managing risks (practice tasks and real cases)

R package for nonparametric estimation of CES