var-backtesting

Measure market risk by CAViaR model

A regime-switching Monte Carlo engine for modeling systemic risk and contagion in equity markets.

Quantitative market risk model monitoring framework implementing 99% one-day VaR using Historical, Parametric, EWMA, and Monte Carlo methods. Includes rolling out-of-sample forecasting, Kupiec and Christoffersen backtesting, exception monitoring, stress testing, volatility and drawdown analysis, and model validation using Python and Excel.