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Modeling Tails of Distributions by Importance Sampling: Application in Risk-Management

This repository contains code for the project "Modeling Tails of Distributions by Importance Sampling: Application in Risk-Management". The aim of the project is to estimate Value at Risk (VaR) and Expected Shortfall (ES) risk measurements of a financial portfolio by the Importance Sampling technique.

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Creating, training and backtesting of VaR and ES models based on Importance Sampling

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