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arma-garch-copula-var-

Method of calculating VaR ( Value at risk) using ARMA-GJR_GARCH and COPULA method

bayesiannetworks

Implementation of a Bayesian Network to model probability distributions of several variables pertaining US Universities obtained from US News and World Report.

black-litterman-model

使用Python复现Black-Litterman模型。Black-Litterman模型创造性地采用贝叶斯方法将投资者对预期收益的主观看法与资产的市场均衡收益相结合，有效地解决了Markowitz均值-方差模型中投资者难以准确估计各个投资品种预期收益率、以及其权重对预期收益率的极度敏感性这两大问题。本项目使用美国市场2009年-2019年十年间的10只股票数据进行回测，证明了合理观点对资产组合收益率具有显著的正面影响效果。

black-litterman-model-1

Black-Litterman Model in python

brinson-attribution

以wind为数据源的基金单期brinson业绩归因

brinson-model-mutiple

A multiple period Brinson Model written in Python

btc-volatility-by-arma-egarch

This is the code notebook for the paper on using Python to study the volatility of BTC in ARIMA-EGARCH model.

campisi-fixed-income-performance-attribution-model

Campisi纯债型基金业绩归因模型程序，适用于**市场，需要有Wind的API接口权限

copula-methods-in-finance

Food for Mind - Master in Quantitative Finance - University of Bologna

copula-py

Python Copula Module

copula_bayesian_networks

A class implementation of CBN model and its applications to financial network dependency studies.

copula_pairs_trading

Misprice Index(conditional copula) Calculation for Pairs Trading

copulagnn

CopulaGNN: Towards Integrating Representational and Correlational Roles of Graphs in Graph Neural Networks (ICLR 2021)

copulagnn-synthetic

Synthetic Experiments for CopulaGNN

credit-risk-analysis

credit-risk-modeling-in-python

Modeled the credit risk associated with consumer loans. Performed exploratory data analysis (EDA), preprocessing of continuous and discrete variables using various techniques depending on the feature. Checked for missing values and cleaned the data. Built the probability of default model using Logistic Regression. Visualized all the results. Computed Weight of Evidence and price elasticities.

credit-risk-modelling

Credit-Risk Modelling Libraries

credit_risk_walmart

Credit Risk project with many computations regarding Distance to Default and also Probabilyt of Default of Walmart. It was used KMV model with the starting point of Loffer and Posch. Used equations translated from Bharath and Shumwat (2008, Equation 6 and 7)

famafrench

Fama French 五因素模型适用性实证研究

financial-risk-management

Python class calculating VaR and Monte Carlo Simulation

fund_network.github.io

Complex network analysis of mechanism clustering —— An experimental report for an internship position of CSC

fundnetwork.github.io

Complex network analysis of mechanism clustering —— An experimental report for an internship position of CSC

icbs_msc_research_project

Code for my Msc research project - Copulas as edges in a financial network

kmv-model

kmvmodel

This Model is created to describe the credit risk of a listed company

morningstarportfolioanalysis2

morningstarstyleboxusingbackbonemvc

Backbone JS

muarch

Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation

open-solution-home-credit

Open solution to the Home Credit Default Risk challenge :house_with_garden:

pairs-trading-using-copula

This project is to apply Copula Function to pair trading strategy both in American stock market.