Value At Risk Financial Risk Management In Python

from Harbourfront Technologies · host Harbourfront Technologies

Value at risk (VaR) is a measure of the risk of loss for investments. It estimates how much a set of investments might lose (with a given probability), given normal market conditions, in a set time period such as a day. The method presented in this post is suitable for calculating the VaR in a normal market condition. More advanced approaches such as Expected Tail Loss have been developed that can better take into account the tail risk. http://tech.harbourfronts.com/risk-management/value-risk-financial-risk-management-python/

Episode metadata supplied by the publisher feed · Published Mar 17, 2020

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Value At Risk Financial Risk Management In Python

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