R code for CAViaR model

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

The repo contains the main topics carried out in my master's thesis on operational risk. In particular, it is described how to implement the so called Loss Distribution Approach (LDA), which is considered the state-of-the-art method to compute capital charge among large banks.

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

To provide complete workflow from Inferential Analytics, Predictive Analytics, Prescriptive Analytics and Evaluate the performance of prescriptions

Backtesting my current US stocks portfolio

Essential techniques to assess financial risks

Analyzer for Instruments of Dhaka Stock Exchange

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

Parts of code from my MSc. dissertation project. Uses yahoo API to load past stock data for training and backtesting various traditional and experimental models for VaR calculation. Written in R & Python.

This project is a basic look into using R Programming to work on stocks.

Repository for the course 'Financial Risk' at Gothenburg University

State-space models for statistical mortality projections

R package for nonparametric estimation of CES

Specify and fit GARCH models to forecast time-varying volatility and value-at-risk.

Useful graphs for financial projects

Artigo finalizado em 06/08/2021 como membro do Núcleo de Riscos & Derivativos, para o Clube de Finanças, Liga Acadêmica de Mercado Financeiro da UDESC & UFSC.