rafa-rod / vartests Star 16 Code Issues Pull requests Statistical tests for Value at Risk (VaR) Models. finance statistical-tests backtest value-at-risk backtesting kupiec-test duration-test christoffersen-pelletier christoffersen berkowitz Updated Mar 21, 2026 Python
Einvon / VaRTest_Kupiec_and_Engle Star 0 Code Issues Pull requests Tests for VaR estimation of financial instruments, including Kupiec Test(LR-Stats) and Engle Test(QD-Stats). var kupiec-test engle-test Updated Mar 23, 2024 Python
santarsierilorenzo / varlab Star 0 Code Issues Pull requests VaR & CVaR python package. Computation and backtesting. finance trading risk value-at-risk backtesting investment-portfolio expected-shortfall cvar stochastic-rounding tail-risk kupiec-test christoffersen berkowitz var-backtesting basel-traffic-light christoffersen-conditional randomized-pit Updated Mar 12, 2026 Python