frm-garp/Valuation-and-Risk-Models frm-garp/Valuation-and-Risk-Models

  • Stars
    star
    1
  • Language
    Jupyter Notebook
  • Created over 4 years ago
  • Updated over 4 years ago
Twitter logo Share LinkedIn logo Share Facebook logo Share
frm-garp/Valuation-and-Risk-Models
github

frm-garp

Reviews

There are no reviews yet. Be the first to send feedback to the community and the maintainers!

Repository Details

This repository focuses on valuation techniques and risk models. This includes coverage of basic bond valuation, valuation using binomial trees, and an understanding of the Black-Scholes-Merton model. Risk models and techniques such as Value-at-Risk, the contingent claims approach to measuring risk, expected and unexpected loss estimation, and stress testing are also covered.

More Repositories

1

Logistic-Regression-in-Python--Predict-the-Probability-of-Default-of-an-Individual

Logistic Regression in Python- Predict the Probability of Default of an Individual
HTML
3
star
2

Credit-Risk-Measurement-and-Management

This repository focuses on credit risk management with some focus given to structured finance and credit products such as collateralized debt obligations and credit derivatives. Knowledge of the subprime mortgage crisis and counterparty risk is also covered as well as default risk and methodologies used to measure it, such as Credit VaR.
Jupyter Notebook
2
star
3

Foundations-of-Risk-Management

This repository focuses on foundational concepts of risk management and how risk management can add value to an organization. An understanding of the trade-off between risk and return, the construction of efficient portfolios, fundamental asset pricing models, and enterprise risk management frameworks are covered.
Jupyter Notebook
1
star
4

Text-Classification-using-Character-Level-TF-IDF-and-Xgboost-Model

‏‏‏‏Text Classification using Character Level TF-IDF and Xgboost Model
HTML
1
star
5

Market-Risk-Measurement-and-Management

This repository focuses on market risk measurement and management techniques. These include term structure models for fixedincome securities and volatility exposures. The risk measures covered include Value-at-Risk, expected shortfall, and several other coherent measures. An understanding of correlations and copulas, the usage of parametric and non-parametric estimation methods, extreme value theory, exotic options and mortgage backed securities are also covered.
1
star
6

Text-Classification-using-BOW-and-Xgboost-Model

Text Classification using NLP, BOW and Xgboost Model
HTML
1
star
7

Investment-Risk-Measurement-and-Management

This repository focuses on risk management techniques applied to the investment management process. Topics such as portfolio construction and performance analysis are covered as well as risk budgeting and portfolio and component VaR. Issues related to hedge funds and private equity investments are also covered.
1
star
8

Complaint-Classification-using-NLP-and-LSTM

Complaint Classification using NLP and LSTM
HTML
1
star
9

Forecasting-BitcoinUSD-using-Time-Series-and-ANN

Forecasting BitcoinUSD using Time Series and ANN
HTML
1
star
10

Forecasting-the-Tel-Aviv-125-Index-using-Time-Series-ANN

Forecasting the Tel Aviv 125 Index using Time Series ANN
HTML
1
star
11

Quantitative-Analysis

This repository focuses on basic probability and statistics, regression and time series analysis, and various quantitative techniques useful in risk management such as Monte Carlo methods and volatility forecasting models.
Jupyter Notebook
1
star