Open source analytics and market risk library from OpenGamma
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Apr 1, 2026 - Java
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market-risk
Here are 55 public repositories matching this topic...
Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics
java statistical-learning bond portfolio-optimization fx market-risk loans interest-rates asset-allocation treasury fixed-income transaction-cost-analytics cva-dva-fva-kva-xva asset-backed credit-risk counterparty-risk corporates municipals emerging-market inflation-linked
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Mar 1, 2026 - HTML
Using Bidirectional Generative Adversarial Networks to estimate Value-at-Risk for Market Risk Management using TensorFlow.
python finance data-science machine-learning r deep-learning tensorflow risk keras generative-adversarial-network financial-services market-risk bigan market-risk-management
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Feb 15, 2023 - Python
Machine learning for financial risk management
market-risk time-series-analysis credit-risk operational-risk volatility-modeling liquidity-risk other-financial-risk-modeling
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Jan 10, 2024 - Python
Practical, hands-on risk modeling, risk assessment and verifications of risk models across major risk classes and understanding risk regulation as well. Implementing risk models in Python, R and Excel.
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May 19, 2022 - HTML
Measure market risk by CAViaR model
quantitative-finance market-risk quantitative-trading value-at-risk risk-management backtesting quantile-regression caviar volatility-modeling var-forecasting dynamic-quantile-test dqtest var-backtesting
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Dec 15, 2024 - Jupyter Notebook
XQRiskCore is a governance-grade risk control engine for trading — with unified trade approval, structured audit logging, role-based access control, and multi-layer enforcement.
audit rbac structured-logging compliance quantitative-finance market-risk access-control governance automated-trading risk-management financial-engineering modular-architecture portfolio-management real-time-monitoring trading-system streamlit post-trade pre-trade institutional-trading quant-platform
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Jul 7, 2025 - Python
An Excel integration of OpenGamma Strata.
risk-analysis derivatives risk-models quantitative-finance market-risk financial-analysis financial-markets yield-curve risk-management quantitative-analysis pricing-derivatives quantitative-methods financial-instruments derivatives-pricing yield-curve-calibration
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Sep 19, 2021 - VBA
Java SDK providing access to the OpenGamma API
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Jul 9, 2025 - Java
Testing Code abount quantitative finance algorithms
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Aug 14, 2025 - Jupyter Notebook
Manuel Touyaa's porfotlio of Python projects/assignments for Finance Market Risk.
python finance monte-carlo market-risk pnl value-at-risk black-scholes backtesting hpl expected-shortfall frtb basel-3 rtpl basel-iii
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Mar 5, 2022 - Jupyter Notebook
Excel bindings for OpenGamma's Strata library
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Jun 7, 2022 - Java
Forecasting the performance of an asset and quantifying the uncertainty associated with such a forecast is a difficult task: one that is frequently made more difficult by a shortage of observed market data. This example illustrates one approach for creating a price forecast based on option price data.
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Jan 29, 2025
Proposed solutions to selected exercises in the book "Value-at-Risk: Theory and Practice" (2nd edition) by Glyn A. Holton.
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Jul 10, 2019 - Scala
Comprehensive financial risk analysis toolkit with Altman Z-Score bankruptcy prediction, Value at Risk (VaR) calculations, and historical crisis stress testing. Supports US & European markets with automated company classification.
python finance stress-testing monte-carlo-simulation var quantitative-finance market-risk financial-analysis value-at-risk risk-management stock-analysis portfolio-analysis investment-analysis credit-risk bankruptcy-prediction financial-modeling yfinance financial-metrics trading-tools altman-z-score
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Oct 14, 2025 - Python
Repositório com o código-fonte do Derivativos e Risco de Mercado
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Dec 22, 2017 - Jupyter Notebook
Financial risks of bonds
data-science r mathematica valuation market-risk bonds fixed-income value-at-risk risk-management collateral credit-risk
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Dec 11, 2018 - Mathematica
Statistical techniques for Market Risk Modelling (VaR and ES)
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May 21, 2020 - MATLAB
A MATLAB implementation of the Adrian-Crump-Moench (ACM) term premium model described in "Pricing the Term Structure with Linear Regressions", Federal Reserve Bank of New York Staff Reports, Staff Report No. 340, April 2013.
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Mar 9, 2026 - MATLAB
Market risk analytics dashboard in Python and Streamlit that computes portfolio volatility, drawdowns, VaR/ES, rolling correlations, and stress tests (shocks + COVID‑style crisis window) for equity/ETF portfolios.
python finance data-science time-series numpy pandas data-visualization var quantitative-finance market-risk value-at-risk risk-management portfolio-analysis expected-shortfall streamlit yfinance cvar
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Jan 3, 2026 - Python
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