This small project is about computing value at risk using different methods such as :
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Exponentially weighted moving average
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GARCH
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Historically simulation
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Monte Carlo simulation
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Exteme value theory
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Copulas
The computation have been backtested against several equity indices and foreign exchanges.
The code is written in C++ and relies on Boost and Eigen libraries. It has been compiled using GNU compiler.
g++ -g ./test/test_ptf_mc_var.cpp -o ./test/test_ptf_mc_var -I ./eigen-eigen-323c052e1731 -I ./include ./src/compute_returns_eigen.cpp ./src/instrument.cpp ./src/path.cpp ./src/pca.cpp ./src/portfolio.cpp ./src/ptf_var.cpp ./src/rng.cpp ./src/var_model.cpp