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financial-risk

Here are 2 public repositories matching this topic...

VaR-threshold-and-confidence-interval

guilhermessc / VaR-threshold-and-confidence-interval

This project studies the effects of the shape parameter estimator uncertainty at different threshold levels on the value-at-risk confidence interval for quantitative risk management (QRM) using the Generalized Pareto Distribution (GPD) from the Extreme Value Theory (EVT) approach.

finance stock stock-market equity quantitative-risk-analysis value-at-risk equity-markets generalized-pareto-distribution equity-research financial-risk-analytics financial-risk extreme-value-theory

Updated Aug 30, 2022
Jupyter Notebook

cloudy-sfu / GC-significance-test

The significance test for Granger causality of financial risks in stock indices

machine-learning granger-causality significance-testing financial-risk

Updated Oct 12, 2023
Python

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