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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: 13 Aug 2024
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: 14 Oct 2024
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: 12 Oct 2024
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: 13 Oct 2024
