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parametric-var

Here are 2 public repositories matching this topic...

mmualim / Value-at-Risk-Model

Derive and Calculate VaR Models:

python monte-carlo-simulation historical-var parametric-var monte-carlo-var

Updated Mar 17, 2025
Jupyter Notebook

PPH-Myat / multi-asset-var-analysis

1-day 95% VaR on SOFR swaps and equities (AAPL, MSFT, F, BAC) using parametric, Monte Carlo and historical methods.

var risk-management historical-var parametric-var monte-carlo-var

Updated Apr 18, 2025
Python

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