GitHub - qlero/financial_metrics_comparisons: Comparisons of financial metrics (e.g. VaR vs CVaR/ES, simple vs log returns, etc.).

Simple comparisons of:

Value-at-Risk (VaR) and Expected Shortfall risk metrics applied to finance (using Goldman Sachs stock - GS)
Simple and logarithmic returns (using Goldman Sachs, Google, and Apple stocks - GS, GOOG, AAPL)
Kolmogorov-Smirnov Test (using Goldman Sachs - GS - to compare the company's stock return distribution to the normal distribution)
Simple implementation of the Black-Scholes option pricing formula
Simple implementation of the binomial tree option pricing formula

Name		Name	Last commit message	Last commit date
Latest commit History 9 Commits
Images		Images
.gitignore		.gitignore
Kolmogorov-Smirnov Test.ipynb		Kolmogorov-Smirnov Test.ipynb
LICENSE		LICENSE
README.md		README.md
VaR_versus_expected_shortfall.ipynb		VaR_versus_expected_shortfall.ipynb
binomial_tree_option_pricing.ipynb		binomial_tree_option_pricing.ipynb
black-scholes.ipynb		black-scholes.ipynb
simple_versus_log_returns.ipynb		simple_versus_log_returns.ipynb

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