Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.

Portfolio Construction and Risk Management book's Python code.

Entropy Pooling in Python with a BSD 3-Clause license.

Application to finance

One-week side project to play around stochastic optimization (how to take *good* decisions under uncertainty)

Conditional Value-at-Risk (CVaR) portfolio optimization benchmark problems for fully general Monte Carlo distributions and derivatives portfolios.

Stress Testing Financial Portfolios using S&P 500 Stock Data from Kaggle.

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.

Essential techniques to assess financial risks

Monte Carlo Value-at-Risk | Conditional Value-at-Risk

A Stochastic Primal-Dual Proximal Splitting Method for Risk-Averse Optimal Control of PDEs

Empirical evaluation of Value-at-Risk and Conditional Value-at-Risk using parametric, historical, Monte Carlo, and EVT methods on a multi-asset portfolio

Financial Risk with Python

Estimation and forecasting of volatility using Financial Timeseries with Copulas. Includes models like GARCH, EWMA and EqWMA. Market risk management using CVaR, EVT, Risk Factors and Monte Carlo Simulation.

Using Monte Carlo Simulations to calculate the Value at Risk (VaR) and Conditional Value at Risk (CVaR) for a tech-heavy portfolio in stocks.