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  1. Risk-Engine Risk-Engine Public

    A python-based risk engine that computes Value at Risk (VaR) and Expected Shortfall. The engine includes a tournament-style selector to identify the optimal dynamic GARCH model using AIC/BIC. It al…

    Jupyter Notebook

  2. Implied-Volatility-calculator Implied-Volatility-calculator Public

    This project includes a C++ programme that is single dimension calculator for the implied volatility using the Black-Scholes model.

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