Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.
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Jan 22, 2024 - R
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expected-shortfall
Here are 9 public repositories matching this topic...
R package providing functions for computing Expected shortfall (ES) and Value at risk (VaR)
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Nov 9, 2022 - R
[R] Statistical analysis of financial data conducted in R
r statistics arch optimization regression acf var arima financial-analysis anova garch aic normal-distribution expected-shortfall natural-splines exponential-distribution pacf qq-plot
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Jan 31, 2022 - R
Essential techniques to assess financial risks
risk-analysis monte-carlo-simulation var value-at-risk risk-management mvar risk-modelling expected-shortfall variance-covariance cvar conditional-value-at-risk avar portfolio-risk altman-z-score multi-asset-value-at-risk rachev-ratio historical-var
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Oct 25, 2024 - R
Backtesting my current US stocks portfolio
tidyverse sharpe-ratio quantitative-finance quantmod backtesting-trading-strategies value-at-risk capm backtesting portfolio-analysis tidyquant expected-shortfall
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Oct 18, 2020 - R
The goal of esreg is to simultaneously model the quantile and the expected shortfall of a response variable given a set of covariates.
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May 13, 2023 - R
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.
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Sep 1, 2023 - R
R package for nonparametric estimation of CES
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Dec 15, 2019 - R
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