Projects in Awesome Lists tagged with expected-shortfall
A curated list of projects in awesome lists tagged with expected-shortfall .
https://github.com/BayerSe/esback
Expected Shortfall Backtesting
backtesting expected-shortfall r
Last synced: 30 Jul 2025
https://github.com/beliavsky/r-finance-task-view-supplement
R Finance packages not listed in the Empirical Finance Task View
cran cran-r cryptocurrency expected-shortfall finance financial-data garch list option-pricing quantitative-finance r r-package r-packages stochastic-volatility time-series-analysis value-at-risk
Last synced: 27 Jul 2025
https://github.com/s-broda/quadraticformsmghyp.jl
A package for evaluating tail probabilities and partial moments for random vectors in multivariate generalized hyperbolic random vectors.
expected-shortfall generalized-hyperbolic-distribution imhof inversion-formula normal-inverse-gaussian partial-moments quadratic-forms saddlepoint-approximation students-t tail-probabilities value-at-risk variance-gamma
Last synced: 31 Jan 2026
https://github.com/geobosh/cvar
R package providing functions for computing Expected shortfall (ES) and Value at risk (VaR)
expected-shortfall locations-scale-transformations quantile quantile-functions risk value-at-risk
Last synced: 13 Apr 2025
https://github.com/open-risk/tailrisk
A library for the calculation of tail risk measures
expected-shortfall quantile-functions risk-measure value-at-risk
Last synced: 10 Apr 2025
https://github.com/bjam24/agh-quantitative-measures-of-market-risk
This repository consits of: projects and homeworks connected with research area such as Risk Management.
correlation ewma expected-shortfall garch historical portfolio rate-of-return risk-analysis risk-management risk-modelling value-at-risk
Last synced: 25 Jul 2025
https://github.com/jaantollander/conditionalvalueatrisk
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.
coherent-risk-measure conditional-value-at-risk expected-shortfall risk-measure
Last synced: 19 Mar 2026
