var-cvar

Here are 3 public repositories matching this topic...

TharunPonnaganti / block-bootstrap-risk-simulator

Non-parametric portfolio risk simulator using circular block bootstrap (Politis-Romano). Simulates outcome distributions, VaR/CVaR, drawdown, DCA/SIP -- with walk-forward calibration and 52 + 58 QA invariant checks.

python bootstrap data-science risk-analysis numpy calibration monte-carlo-simulation portfolio-optimization quantitative-finance streamlit streamlit-dashboard block-bootstrap portfolio-risk var-cvar walk-forward-calibration dca-sip

Updated Jul 26, 2026
Python

alessavargas / montecarlo

Star

Monte Carlo VaR/CVaR engine with 4 simulation methods (Cholesky & PCA, Normal & Empirical) for multi-asset portfolio market risk analysis.

python finance monte-carlo-simulation quantitative-finance market-risk risk-management var-cvar

Updated Jun 28, 2026
Python

mohammad-ahmadian / multi-asset-bl-engine

Star

Institutional Multi-Asset Allocation Engine. Implements Ledoit-Wolf shrinkage, Black-Litterman Bayesian views, UCITS/BaFin mandate constraints (SOCP in CVXPY), lookahead-free rolling backtest, Cornish-Fisher VaR stress tests & automated Excel tear-sheet reporting with PostgreSQL & Python.

python postgresql portfolio-optimization quantitative-finance cvxpy asset-allocation black-litterman risk-management backtesting financial-econometrics ucits var-cvar

Updated Aug 29, 2026
Python

Add this topic to your repo

To associate your repository with the var-cvar topic, visit your repo's landing page and select "manage topics."

Learn more