Historical Value at Risk (VaR) with Python

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Implementation of Historical Value at Risk (VaR) and Conditional Value at Risk (CVaR) with Python.

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Thanks for sharing all of this information and code. The hill is steep, but worth it, I feel.

oldtimehockey

Thanks, You so much It is very useful

AkashChauhan-rwqh

Hi mate,
Great work and thanks for sharing, I’m struggling to apply your code based on an Excel file where I simply have portfolio monthly returns.
I get “can’t multiply sequence by non int of type float” .
I’m not sure how to approach this, I’m sure it’s because of the first steps but I’m quite new to Python so any help would be more than welcome.
Cheers

ali-claudebarry

Hey man! awesome video, cleared a lot of concepts. I have a doubt. If I wnated to calculate each day VaR or CVaR in a sliding/rolling window method with window size=7, and want to get each day's VaR or CVaR of each stocks or Portfolio, how to do that?

mediumdatascience

I am not sure if we are allowed to simply multiply daily returns by T. They are not log returns, so wouldn't it be more correct to do something like this: (1+returns)**T - 1?

mr_mr_

thank you so much for the video, I am going through your videos! I would like to become a quant that is my dream job

gian_piano

Great Video .. if possible please make more videos on credit risk and FI derivatives valuation

finvengers

If i have the historical daily var and i want to comvert it to a 30 day period window, i just multiply by the sqrt(30)???
Thank you very much.

Saboman

Could you elaborate on the weights, why is it random? what if I want to put in my own weights?

mr.gk

Thank you for the video. I have a question. How can I compute the quantiles for a specific p, using Rankit-cleveland method? It is used to estimate the value at risk using quantile regression and I am kind of stuck. please help

Im-Assmaa

Hey mate, is the historical Var just the n th percentile of the profit loss distribution?

tblaze

Actually I have a question, why do we need to add stock+'.AX'?

joker-fv

Being picky here: The Pythonic function name would be get_data, not getData, per PEP-8

nccamsc

Excellent. You forgot to plot the chart.

aarondelarosa

Hi…when i am giving the last code u did with the initial investment part..i got an error: cannot pack non-iterable Nonetype object and i am basically getting it in the code: pRet, pStd = PortfolioPerfomance(weights, meanReturns, covMatrix, Time)..can you pls help me with this?

krishnakundu

Hello, here the code is used with random weight. But what would be the code with lets say a 16.66% weight for each of your stock as you have 6 stocks ?

Vince-rmrr

Hi mate, First of all thanks for this helpful VaR series. I tried to run the code, but in the function historicalCVaR, I get an error in the line:
belowVaR = returns <= historicalVaR(returns, alpha=alpha)
TypeError: 'Series' object is not callable

Any ideas why? Cheers!

alfilart

may be breaking changes, I get the following error,
RemoteDataError: No data fetched using 'YahooDailyReader'

wryltxw

I get: "RemoteDataError: No data fetched using 'YahooDailyReader'". I checked the symbols and they are correct.

mariaaguilera

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