Conducting portfolio analysis using pandas dictionaries
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Updated
Sep 30, 2020 - Jupyter Notebook
Conducting portfolio analysis using pandas dictionaries
Selecting and optimizing portfolios involving FTSE 100 top 10 stocks. Comparison of each strategy performance over time with rolling statistics and tail risk metrics.
State-space models for statistical mortality projections
You can find codes and reports for the study of (1) the characteristics of the yields of a stock, and (2) the calculus of the VaR for this stock + backtesting of VaR
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'
Repository represents python usability of measuring and managing risks (practice tasks and real cases)
Modeling Value-at-Risk of a Mongolian Exchange Rae (MNT/USD) using the GARCH type model in Python
In this jupyter notebook file, I fetched historical stock price data of Zomato (Listed NSE) from Yahoo Finance and calculated Value at Risk.
This repositry includes the problems of optimization and their scratch implementation in python using numpy and scipy
Useful graphs for financial projects
These reports were developed for the course Stochastic methods for finance using real data from yahoo finance and analyzing it via excel VBA
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.
This is a masters project completed by My Team & I the project is based portfolio risk management which calculated using Value at Risk and optimization of the portfolio using the best weights available
This model seeks to determine the maximum portfolio investment risk at given confidence levels.
Essential techniques to assess financial risks
Specify and fit GARCH models to forecast time-varying volatility and value-at-risk.
Python application to conduct monte carlo simulations and related value at risk calculations. Includes a test case that outputted a plot showing the results of 10 simulations using the app.
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