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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.

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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.

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time-series monte-carlo-simulation log-likelihood taylor-expansion risk-factors ewma skewness kurtosis volatility-modeling garch-models copulas conditional-value-at-risk extreme-value-theory
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