Skip to content

Creating, training and backtesting of VaR and ES models based on Importance Sampling

Notifications You must be signed in to change notification settings

Nonvisedarte/importance-sampling-2022

 
 

Folders and files

NameName
Last commit message
Last commit date

Latest commit

 

History

12 Commits
 
 
 
 
 
 
 
 
 
 
 
 
 
 

Repository files navigation

Modeling Tails of Distributions by Importance Sampling: Application in Risk-Management

This repository contains code for the project "Modeling Tails of Distributions by Importance Sampling: Application in Risk-Management". The aim of the project is to estimate Value at Risk (VaR) and Expected Shortfall (ES) risk measurements of a financial portfolio by the Importance Sampling technique.

About

Creating, training and backtesting of VaR and ES models based on Importance Sampling

Resources

Stars

Watchers

Forks

Releases

No releases published

Packages

No packages published

Languages

  • Python 100.0%