├── .all-contributorsrc ├── .codespell.whitelist ├── .editorconfig ├── .flake8 ├── .github ├── FUNDING.yml ├── ISSUE_TEMPLATE │ ├── 1-bug_report.md │ └── 2-feature-request.md ├── labels.toml └── workflows │ ├── ci.yml │ ├── issue-manager.yml │ ├── labels.yml │ └── release.yml ├── .gitignore ├── .gitpod.yml ├── .pre-commit-config.yaml ├── .readthedocs.yml ├── CHANGELOG.md ├── CONTRIBUTING.md ├── LICENSE ├── README.md ├── commitlint.config.js ├── docs ├── Makefile ├── make.bat └── source │ ├── _static │ └── .gitkeep │ ├── accuracy │ ├── bias.md │ └── value_at_risk.md │ ├── changelog.md │ ├── conf.py │ ├── contributing.md │ ├── engine.md │ ├── examples │ └── statistical.md │ ├── index.md │ ├── installation.md │ ├── q_a.md │ ├── risk_model │ ├── covariance.md │ ├── factor_risk_model.md │ ├── risk_model.md │ ├── statistical.md │ ├── statistical │ │ ├── apca.md │ │ └── pca.md │ └── universe.md │ └── usage.md ├── examples ├── notebook │ ├── crypto_empirical_analysis_alpha_sizing_rules.ipynb │ ├── crypto_estimation_universe_sample_data.zip │ ├── crypto_model_universe_sample_data.zip │ ├── crypto_statistical_risk_model.ipynb │ └── numpy_backend_engine.ipynb └── yaml │ ├── us-equity-accuracy.yaml │ ├── us-equity-estimation-apca.yaml │ ├── us-equity-estimation-pca.yaml │ ├── us-equity-model-apca.yaml │ └── us-equity-model-pca.yaml ├── poetry.lock ├── pyproject.toml ├── renovate.json ├── setup.py ├── src └── fpm_risk_model │ ├── __init__.py │ ├── accuracy │ ├── __init__.py │ ├── bias.py │ └── value_at_risk.py │ ├── config.py │ ├── cov_estimator.py │ ├── dataset │ ├── __init__.py │ └── crypto.py │ ├── engine.py │ ├── factor_risk_model.py │ ├── pipeline │ ├── __init__.py │ ├── portfolio.py │ └── returns.py │ ├── py.typed │ ├── regressor │ ├── __init__.py │ ├── ewls.py │ └── wls.py │ ├── risk_model.py │ ├── rolling_factor_risk_model.py │ ├── rolling_risk_model.py │ └── statistical │ ├── __init__.py │ ├── apca.py │ └── pca.py └── tests ├── __init__.py ├── accuracy ├── conftest.py ├── test_bias.py └── test_value_at_risk.py ├── pipeline └── test_portfolio.py ├── regressor ├── test_ewls.py └── test_wls.py ├── statistical ├── conftest.py ├── test_apca.py └── test_pca.py ├── test_cov_estimator.py ├── test_engine.py ├── test_factor_risk_model.py ├── test_factor_risk_model_transform.py └── test_rolling_factor_risk_model.py /.all-contributorsrc: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/factorpricingmodel/factor-pricing-model-risk-model/HEAD/.all-contributorsrc -------------------------------------------------------------------------------- /.codespell.whitelist: -------------------------------------------------------------------------------- 1 | datas 2 | -------------------------------------------------------------------------------- /.editorconfig: -------------------------------------------------------------------------------- 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