You can read more detail here, but we'll calculate it step by step below using Python.īefore we get started, note that the standard VaR calculation assumes the following: In short, the variance-covariance method looks at historical price movements (standard deviation, mean price) of a given equity or portfolio of equities over a specified lookback period, and then uses probability theory to calculate the maximum loss within your specified confidence interval. In this post, we'll focus on using method (2) (variance-covariance). There are two main ways to calculate VaR: In this post I'll walk you through the steps to calculate this metric across a portfolio of stocks.
0 Comments
Leave a Reply. |
AuthorWrite something about yourself. No need to be fancy, just an overview. ArchivesCategories |