Factor Pricing Model Risk Model documentation Python Module Index

Python Module Index

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- fpm_risk_model
    fpm_risk_model.accuracy.bias
    fpm_risk_model.accuracy.value_at_risk
    fpm_risk_model.cov_estimator
    fpm_risk_model.factor_risk_model
    fpm_risk_model.risk_model
    fpm_risk_model.rolling_risk_model
    fpm_risk_model.statistical.apca
    fpm_risk_model.statistical.pca

Table of Contents

Installation & Usage

  • Installation
  • Usage
  • Q&A
  • Backend Engine

Risk Model

  • Universe
  • Risk Model
  • Factor Risk Model
  • Statistical Approach
  • Risk model covariance

Accuracy

  • Bias
  • Value at risk (VaR)

Examples

  • Example: Statistical factor risk model

Project Info

  • Changelog
  • Contributing

  • General Index
  • Python Module Index
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