Conditional Probability of Exceedance (CPE): a nonparametric, live-deployed cross-asset tail co-movement signal framework across 161 instruments, plus multifractal predictability-limit research.
Applied quantitative financial risk management projects covering VaR/ES estimation, model validation, PCA/FA, copulas, and EVT-based tail-risk analysis.
End-to-End Python implementation of Regime-Weighted Conformal (RWC) prediction for sequential VaR control in nonstationary financial markets (Schmitt, 2026). Combines kernel-based regime similarity with exponential time decay to calibrate distribution-free risk bounds. CRSP data validation, GBDT quantile forecasting, and rigorous backtesting.
Simulation of tail risk noise and asset price
Evaluation of the impact of stale model calibrations on tail risk estimates from the perspective of statistical backtesting.
Code and data for "When Volatility Masquerades as Fragility". Hourly DeFi liquidation panel and quantile local projections of ETH returns, 2021-2025.
Actuarial tail risk quantile/expectile regression for insurance pricing - TVaR, large loss loading, ILF curves, CatBoost
Regime detection using Hidden Markov Models with Swan Beta features to identify tail-risk market states.
An End-to-End Python implementation of Köhler et al.'s (2026) orthogonalized tail-risk framework. Combines PCA-whitening spectral decomposition with Peaks-Over-Threshold EVT to quantify extreme risks in 479-dimensional financial networks. Implements Ferro-Segers clustering, dynamic residualization, and out-of-core processing for 2.6B+ data points.
Predicting the probability of equity market crash events using historical return-based features, with a fixed crash definition and a focus on tail risk. The model is evaluated using the SPDR S&P 500 ETF (SPY) as a proxy for the S&P 500 Index, with data sourced via the yfinance API.
Analyze cryptocurrency return dynamics, volatility, and risk from 2010–2025.
Option-implied tail-risk connectedness factor research pipeline
This toolbox contains a collection of skewed, and split parametric probability distributions often used in tail-risk applications.
Tail-robust multi-asset portfolio optimization using Gaussian/t-Copula scenarios and CVaR.
An institutional-grade statistical arbitrage engine leveraging Copula functions to model tail dependence and execute pairs trading strategies during market dislocations.
졸업논문 — 위험 예측이 좋아지면 무엇이 좋아지는가? 한국 모멘텀 35년·39번의 실험(실패 포함 전부 기록)으로 답: 수익률이 아니라 꼬리(최악의 달)가 좋아진다. 코드·결과원장 E00~E38·재현킷
Extreme value analysis for insurance losses: POT/GPD, GEV with uncertainty, threshold diagnostics, return levels, body-tail splicing.
Session-aligned LightGBM-EVT research pipeline for forecasting pre-open downside tail risk in Nikkei 225 futures.
Add a description, image, and links to the tail-risk topic page so that developers can more easily learn about it.
To associate your repository with the tail-risk topic, visit your repo's landing page and select "manage topics."