Python Value At Risk

Overview

*
Value at danger (VaR) is a measure of sector risk used in the finance, banking and also insurance sectors. It requires the usage of statistical evaluation of historic sector patterns and volatilities to estimate the likelihood that a provided portfolio’s losses will certainly exceed a particular amount. It is widely offered for threat management and also hazard limit setting.

You watching: Python value at risk

We will certainly examine just how to estimate VaR making use of Monte Carlo simulation methods (additionally dubbed stochastic simulation methods), analyze the impact of portfolio diversification and also correlation in between stocks on financial danger, and also usage copula techniques to sample from associated random variables and also estimate portfolio VaR.

This submodule is a component of the risk evaluation module.

See more: James Welch'S ' Winter In The Blood Book Review, Winter In The Blood

Learning objectives

Upon completion of this module, you need to be able to:

Understand also exactly how financial threat is modeled, defined and quantified

Understand also the influence of associated dangers on risk metrics

Implement a Monte Carlo simulation procedure for stochastic estimation of some poorly-recognized quantity

Course material


*

Estimating Value at Risk

*
Lecture slides (PDF)

*

Python notebook on analyzing threat of a stock industry portfolio

View Python notebook online

*
Downfill Python notebook

Run notebook in MyBinder

*

Run notebook in Google Colab

*

Run notebook in Deepnote

*

In these course products, applications are presented making use of the NumPy, SciPy and also statsmodels libraries for the Python programming language. We have some product on acquiring started with Python that defines how to install Python on your computer or try out our computational notepublications making use of free digital services.

After reading this product, you may be interested in the submodule on copula methods for representing multivariate dependencies.

Other resources

We recommend the adhering to resources of even more indevelopment on this topic:



Search on risk-design.org
Hazard analysis Risk analysis Risk management Concepts

Share