risk-measure

Here are 3 public repositories matching this topic...

xhub / EMP.jl

Extended Mathematical Programming in Julia

optimization julia game-theory modeling-language bilevel-optimization optimization-algorithms risk-modelling mpec risk-measure

Updated May 5, 2022
Julia

open-risk / tailRisk

Sponsor

Star

A library for the calculation of tail risk measures

value-at-risk expected-shortfall quantile-functions risk-measure

Updated Oct 24, 2024
C++

jaantollander / ConditionalValueAtRisk

Sponsor

Star

Provides a concrete Julia implementation for computing the conditional value-at-risk (aka expected shortfall) for discrete probability distributions. Also works as a pseudocode for other languages.

expected-shortfall risk-measure conditional-value-at-risk coherent-risk-measure

Updated Sep 21, 2021
Julia

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