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)

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

Essential techniques to assess financial risks

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.

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

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

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

Financial Risk with Python

Estimation and forecasting of volatility using financial timeseries. Includes models like GARCH, EWMA, EqWMA and Rolling Window. Portfolio management using CVaR, EVT and Monte Carlo Simulation.