https://github.com/gosuto-inzasheru/qrm-assignment2
Analysis of a fictive investment portfolio using PCA, copulas and extreme value theory. Second assignment for the Master's course Quantitative Financial Risk Management.
https://github.com/gosuto-inzasheru/qrm-assignment2
copula extreme-value-statistics pca principal-component-analysis quantitative-finance risk-management
Last synced: 4 months ago
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Analysis of a fictive investment portfolio using PCA, copulas and extreme value theory. Second assignment for the Master's course Quantitative Financial Risk Management.
- Host: GitHub
- URL: https://github.com/gosuto-inzasheru/qrm-assignment2
- Owner: gosuto-inzasheru
- Created: 2020-10-29T08:34:07.000Z (over 4 years ago)
- Default Branch: main
- Last Pushed: 2020-10-29T08:45:59.000Z (over 4 years ago)
- Last Synced: 2023-08-01T03:58:14.637Z (almost 2 years ago)
- Topics: copula, extreme-value-statistics, pca, principal-component-analysis, quantitative-finance, risk-management
- Language: Jupyter Notebook
- Homepage:
- Size: 8.66 MB
- Stars: 1
- Watchers: 1
- Forks: 1
- Open Issues: 0