risk-measures

Portfolio optimisation library for Julia. Over 50 risk measures (CVaR, EVaR, RLVaR, drawdown, OWA), hierarchical risk parity, HERC, nested clustered optimisation, risk budgeting, near-optimal centering, four Black-Litterman variants, entropy pooling, factor and high-order priors, denoising, and JuMP-backed convex and non-convex optimization.

This code accompanies the paper DeePM: Regime-Robust Deep Learning for Systematic Macro Portfolio Management (https://arxiv.org/abs/2601.05975)

RMC-TotalRisk is a powerful risk analysis software package designed to support dam and levee safety investment decisions.

CRAN Task View: Actuarial Science

The files contained in this repository were used for implementing the three models in my master thesis. My master thesis title is "Comparison of different portfolio optimization problems with different risk measures".

BSc thesis focused on distortion risk measures and reward-risk ratios.

Repository represents python usability of measuring and managing risks (practice tasks and real cases)

An open-source Python module for portfolio optimization and backtesting

Portfolio Monte Carlo: aggregate simulation, Iman-Conover dependence, reinsurance layers, VaR/TVaR with bootstrap error.

Supporting Material for the Open Risk Academy course on measuring credit name concentrations

VaR/TCE-based optimal capital allocation and rolling tail-risk attribution in MATLAB.