VaR, CVaR - Value at Risk, Expected shortfall

This small project is about computing value at risk using different methods such as :

• Exponentially weighted moving average

• GARCH

• Historically simulation

• Monte Carlo simulation

• Exteme value theory

• Copulas

The computation have been backtested against several equity indices and foreign exchanges.

The code is written in C++ and relies on Boost and Eigen libraries. It has been compiled using GNU compiler.