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VaR
Simple VaR calculation in Python, both for single value and VaR series in time. Supported formulas at the moment include: Parametric Normal, Parametric EWMA, Historical Simulation and Filtered Historical Simulation with EWMA.
GNU General Public License v3.0
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Issue
#2
reespanau
opened
6 years ago
0
Problem with results
#1
ghost
opened
7 years ago
2