Applied quantitative financial risk management projects covering VaR/ES estimation, model validation, PCA/FA, copulas, and EVT-based tail-risk analysis.
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May 31, 2026 - Jupyter Notebook
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tail-risk
Here are 13 public repositories matching this topic...
End-to-End Python implementation of Regime-Weighted Conformal (RWC) prediction for sequential VaR control in nonstationary financial markets (Schmitt, 2026). Combines kernel-based regime similarity with exponential time decay to calibrate distribution-free risk bounds. CRSP data validation, GBDT quantile forecasting, and rigorous backtesting.
python machine-learning reproducible-research market-data kernel-methods quantitative-finance uncertainty-quantification value-at-risk gradient-boosting risk-management time-series-analysis backtesting quantile-regression financial-econometrics portfolio-management conformal-prediction sequential-prediction tail-risk icml-2026 crsp-data
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Feb 8, 2026 - Jupyter Notebook
Simulation of tail risk noise and asset price
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Aug 28, 2024 - Jupyter Notebook
Quantile Local Projections linking DeFi liquidation shocks to ETH tail risk. Empirical evidence for endogenous market fragility (2021-2025)
crypto research replication ethereum cryptocurrency research-project empirical leverage quantile-regression empirical-research local-projection defi empirical-finance tail-risk reasearch-papers liquidations tail-risk-dynamics crypto-finance leverage-cycle
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Mar 30, 2026 - Jupyter Notebook
Evaluation of the impact of stale model calibrations on tail risk estimates from the perspective of statistical backtesting.
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Mar 13, 2026 - Python
Actuarial tail risk quantile/expectile regression for insurance pricing - TVaR, large loss loading, ILF curves, CatBoost
python machine-learning insurance pricing actuarial quantile-regression expectile-regression catboost insurance-pricing tail-risk tvar uk-insurance reserve-risk extreme-quantiles
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Apr 4, 2026 - Python
An End-to-End Python implementation of Köhler et al.'s (2026) orthogonalized tail-risk framework. Combines PCA-whitening spectral decomposition with Peaks-Over-Threshold EVT to quantify extreme risks in 479-dimensional financial networks. Implements Ferro-Segers clustering, dynamic residualization, and out-of-core processing for 2.6B+ data points.
python reproducible-research numpy scipy quantitative-finance principal-component-analysis spectral-analysis risk-management time-series-analysis financial-engineering market-microstructure high-frequency-trading random-matrix-theory correlation-analysis econophysics systemic-risk volatility-modeling tail-risk peaks-over-threshold extreme-value-theory
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Mar 22, 2026 - Jupyter Notebook
Analyze cryptocurrency return dynamics, volatility, and risk from 2010–2025.
docker ggplot2 r shiny rstudio tidyverse forecast cryptocurrency arima scales volatility garch lubridate tseries drawdown tail-risk qq-plot log-return crash-risk rugarch
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Jan 29, 2026 - HTML
Regime detection using Hidden Markov Models with Swan Beta features to identify tail-risk market states.
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Jan 4, 2026
Predicting the probability of equity market crash events using historical return-based features, with a fixed crash definition and a focus on tail risk. The model is evaluated using the SPDR S&P 500 ETF (SPY) as a proxy for the S&P 500 Index, with data sourced via the yfinance API.
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Feb 1, 2026 - Jupyter Notebook
Option-implied tail-risk connectedness factor research pipeline
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Jun 1, 2026 - Python
An institutional-grade statistical arbitrage engine leveraging Copula functions to model tail dependence and execute pairs trading strategies during market dislocations.
python quantitative-finance algorithmic-trading pairs-trading statistical-arbitrage quant-trading copulas tail-risk
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May 29, 2026 - Python
Session-aligned LightGBM-EVT research pipeline for forecasting pre-open downside tail risk in Nikkei 225 futures.
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Jun 16, 2026 - Python
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